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

DOI10.1016/J.INSMATHECO.2011.01.005MaRDI QIDQ2276246zbMATH OpenOpenAlexFDO

Authors 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

dependenceintegral equationexponential convergenceSparre Andersen risk processlimit propertyunbounded Gerber-Shiu function

Mathematics Subject Classification ID

Renewal theory (60K05)

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• A discrete-time ruin model with dependence between interclaim arrivals and claim sizes
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Cites work

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

Cited in

(5)

• The Gerber-Shiu discounted penalty function for the bi-seasonal discrete time risk model
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Necessary and sufficient condition for the boundedness of the Gerber-Shiu function in dependent Sparre Andersen model
• The maximum surplus before ruin for dependent risk models through Farlie-Gumbel-Morgenstern copula
• The role of direct capital cash transfers towards poverty and extreme poverty alleviation - an omega risk process

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