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

DOI10.1016/J.AMC.2018.03.037zbMATH Open1427.91077OpenAlexW2794949727MaRDI QIDQ2333191FDOQ2333191

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

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scientific article; zbMATH DE number 6101279
The ruin problem in a renewal risk model with two-sided jumps
Joint moments of discounted compound renewal sums
Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion
On a discrete risk model with two-sided jumps
A joint density function in the renewal risk model
Moments of compound renewal sums with discounted claims
On the discrete-time compound renewal risk model with dependence
The perturbed compound Poisson risk model with two-sided jumps

zbMATH Keywords

renewal risk model joint moments two-sided jumps number of downward/upward jumps total discounted claims/gains

Mathematics Subject Classification ID

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

Cites Work

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Overshoots and undershoots of Lévy processes
Russian and American put options under exponential phase-type Lévy models.
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On a generalization of the Gerber-Shiu function to path-dependent penalties
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Title not available (Why is that?)
A matrix operator approach to the analysis of ruin-related quantities in the phase-type renewal risk model
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A generalized penalty function in the Sparre Andersen risk model with two-sided jumps
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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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