A note on a generalized discounted penalty function in a Sparre Andersen risk model perturbed by diffusion

DOI10.1155/2013/759352zbMath1420.91139WikidataQ58917379 ScholiaQ58917379MaRDI QIDQ2319082

Zhimin Zhang, Chao-Lin Liu

Publication date: 16 August 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/759352

zbMATH Keywords

integrodifferential equations; discounted penalty function; Sparre Andersen risk model; diffusional perturbation

Mathematics Subject Classification ID

45J05: Integro-ordinary differential equations

60K10: Applications of renewal theory (reliability, demand theory, etc.)

Cites Work

• Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times
• A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model
• The maximum surplus before ruin in an Erlang\((n)\) risk process and related problems
• Introductory lectures on fluctuations of Lévy processes with applications.
• The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model
• The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
• The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion