Extended Gerber-Shiu functions in a risk model with interest

DOI10.1016/j.insmatheco.2015.01.012zbMath1408.91106OpenAlexW1999272283MaRDI QIDQ2347117

Hanspeter Schmidli

Publication date: 26 May 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.01.012

zbMATH Keywords

first passage timeclassical risk processinterestdiscounted penalty functionshot noise process

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Related Items (3)

On capital injections and dividends with tax in a classical risk model ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Unnamed Item

Cites Work

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• On the Time Value of Ruin

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