Mathematical investigation of the Gerber-Shiu function in the case of dependent inter-claim time and claim size

DOI10.1016/j.insmatheco.2011.01.005zbMath1218.91090MaRDI QIDQ2276246

Csaba Mihálykó, Éva Orbán-Mihálykó

Publication date: 1 August 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.01.005

zbMATH Keywords

integral equation; exponential convergence; dependence; Sparre Andersen risk process; limit property; unbounded Gerber-Shiu function

Mathematics Subject Classification ID

60K05: Renewal theory

Related Items

The maximum surplus before ruin for dependent risk models through Farlie–Gumbel–Morgenstern copula

Cites Work

• On the Gerber-Shiu function and change of measure
• Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence
• An algebraic operator approach to the analysis of Gerber-Shiu functions
• Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
• On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution
• Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• On a risk model with dependence between interclaim arrivals and claim sizes
• Exponential Behavior in the Presence of Dependence in Risk Theory
• The Time Value of Ruin in a Sparre Andersen Model
• On the Time Value of Ruin