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

DOI10.1155/2013/759352zbMATH Open1420.91139OpenAlexW2133342028WikidataQ58917379 ScholiaQ58917379MaRDI QIDQ2319082FDOQ2319082

Chao-Lin Liu, Zhimin Zhang

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

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zbMATH Keywords

integrodifferential equationsdiscounted penalty functionSparre Andersen risk modeldiffusional perturbation

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Integro-ordinary differential equations (45J05)

Cites Work

• Introductory lectures on fluctuations of Lévy processes with applications.
• 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
• 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
• Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times
• The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model

Cited In (4)

• The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
• Authors’ Reply: The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion - Discussion by Bangwon Ko
• A generalized penalty function in the Sparre Andersen risk model with two-sided jumps
• Diszkrét kockázati modell általános befizetési ráta mellett

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