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

DOI10.1016/J.INSMATHECO.2011.01.005zbMATH Open1218.91090OpenAlexW1993526512MaRDI QIDQ2276246FDOQ2276246

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

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zbMATH Keywords

dependenceintegral equationexponential convergenceSparre Andersen risk processlimit propertyunbounded Gerber-Shiu function

Mathematics Subject Classification ID

Renewal theory (60K05)

Cites Work

• The Time Value of Ruin in a Sparre Andersen Model
• On a risk model with dependence between interclaim arrivals and claim sizes
• Exponential Behavior in the Presence of Dependence in Risk Theory
• On the Time Value of Ruin
• Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• 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
• 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

Cited In (5)

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

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