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

DOI10.1155/2013/759352MaRDI QIDQ2319082zbMATH OpenOpenAlexWikidataFDO

Authors Zhimin Zhang, Chao-Lin Liu

Publication date 16 August 2019

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

Copyright license Creative Commons Attribution 3.0 Unported

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

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)

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Cites work

• A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model
• Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times
• 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 Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
• The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
• The maximum surplus before ruin in an Erlang\((n)\) risk process and related problems

Cited in

(7)

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

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