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

DOI10.1016/j.insmatheco.2011.01.006zbMath1229.91157OpenAlexW2081808408MaRDI QIDQ2276247

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Related Items (15)

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 ⋮ The maximum surplus before ruin for dependent risk models through Farlie–Gumbel–Morgenstern copula ⋮ Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation ⋮ 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 ⋮ Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times ⋮ A note on discounted compound renewal sums under dependency ⋮ On the analysis of a general class of dependent risk processes ⋮ A note on a Lévy insurance risk model under periodic dividend decisions ⋮ A unified analysis of claim costs up to ruin in a Markovian arrival risk model ⋮ Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times ⋮ Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion ⋮ A generalized penalty function for a class of discrete renewal processes ⋮ Gerber-Shiu analysis with two-sided acceptable levels

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the total operating costs up to default in a renewal risk model
• Surplus analysis for a class of Coxian interclaim time distributions with applications to mixed Erlang claim amounts
• Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
• A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model
• The compound Poisson surplus model with interest and liquid reserves: Analysis of the Gerber-Shiu discounted penalty function
• Constant dividend barrier in a risk model with interclaim-dependent claim sizes
• On the discounted penalty function in the renewal risk model with general interclaim times
• On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution
• The compound Poisson risk model with multiple thresholds
• On the time to ruin for Erlang(2) risk processes.
• On the expected discounted penalty function at ruin of a surplus process with interest.
• Ruin estimates under interest force
• When does surplus reach a certain level before ruin?
• On a class of renewal risk models with a constant dividend barrier
• The compound Poisson risk model with a threshold dividend strategy
• On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
• On orderings and bounds in a generalized Sparre Andersen risk model
• On a risk model with dependence between interclaim arrivals and claim sizes
• Estimates for the Absolute Ruin Probability in the Compound Poisson Risk Model with Credit and Debit Interest
• On the time value of absolute ruin with debit interest
• Dependent Risk Models with Bivariate Phase-Type Distributions
• Martingales and insurance risk
• Ruin estimation for a general insurance risk model
• On Optimal Dividend Strategies In The Compound Poisson Model
• On the Gerber-Shiu Discounted Penalty Function for the Ordinary Renewal Risk Model with Constant Interest
• Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
• Analysis of a Generalized Penalty Function in a Semi-Markovian Risk Model
• On the expectation of total discounted operating costs up to default and its applications
• 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
• Moment generating functions of compound renewal sums with discounted claims

This page was built for publication: A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium