A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium

DOI10.1016/J.INSMATHECO.2011.01.006zbMATH Open1229.91157OpenAlexW2081808408MaRDI QIDQ2276247FDOQ2276247

Authors: Eric C. K. Cheung 

Publication date: 1 August 2011

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

Full work available at URL: http://hdl.handle.net/10722/134718

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zbMATH Keywords

Gerber-Shiu functiongeneralized penalty functionSparre Andersen modeldividend strategyabsolute ruinsurplus-dependent premium rate

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Cites Work

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• The Time Value of Ruin in a Sparre Andersen Model
• The compound Poisson risk model with multiple thresholds
• On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
• Title not available (Why is that?)
• On a risk model with dependence between interclaim arrivals and claim sizes
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• On orderings and bounds in a generalized Sparre Andersen risk model
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• Surplus analysis for a class of Coxian interclaim time distributions with applications to mixed Erlang claim amounts
• The compound Poisson surplus model with interest and liquid reserves: Analysis of the Gerber-Shiu discounted penalty function

Cited In (18)

• Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion
• A note on discounted compound renewal sums under dependency
• A note on deficit analysis in dependency models involving Coxian claim amounts
• On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes
• Gerber-Shiu analysis with two-sided acceptable levels
• A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model
• A generalized penalty function for a class of discrete renewal processes
• The maximum surplus before ruin for dependent risk models through Farlie-Gumbel-Morgenstern copula
• On the analysis of a general class of dependent risk processes
• On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• A unified analysis of claim costs up to ruin in a Markovian arrival risk model
• Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation
• On orderings and bounds in a generalized Sparre Andersen risk model
• A note on a Lévy insurance risk model under periodic dividend decisions
• Diszkrét kockázati modell általános befizetési ráta mellett
• Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times
• Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times

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