Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps

DOI10.1016/J.AMC.2018.03.037MaRDI QIDQ2333191zbMATH OpenOpenAlexFDO

Authors Eric C. K. Cheung, Haibo Liu, Gordon E. Willmot

Publication date 12 November 2019

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2018.03.037

zbMATH Keywords

renewal risk modeljoint momentstwo-sided jumpsnumber of downward/upward jumpstotal discounted claims/gains

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Risk models (general) (91B05)

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Cited in

(12)

• The Erlang(n) risk model with two-sided jumps and a constant dividend barrier
• Analysis of an aggregate loss model in a Markov renewal regime
• On a class of stochastic models with two-sided jumps
• Ruin-related problems in the dual risk model under two different randomized observations
• An insurance risk process with a generalized income process: a solvency analysis
• On a discrete risk model with two-sided jumps
• The expected discounted penalty function in the generalized Erlang\((n)\) risk model with two-sided jumps and a constant dividend barrier
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion
• Optimal dividends and capital injection: a general Lévy model with extensions to regime-switching models
• A generalized penalty function in the Sparre Andersen risk model with two-sided jumps
• On the dual risk model with diffusion under a mixed dividend strategy

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