On the Gerber-Shiu discounted penalty function for subexponential claims

DOI10.1007/s10986-006-0044-9zbMath1131.60080MaRDI QIDQ2471655

R. Asanavičiūutė, Jonas Šiaulys

Publication date: 18 February 2008

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-006-0044-9

zbMATH Keywords

subexponential distributions; ruin probability; discounted penalty function; classical Lundberg's model

Mathematics Subject Classification ID

60K10: Applications of renewal theory (reliability, demand theory, etc.)

60K05: Renewal theory

Related Items

Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence, Further results for the joint distribution of the surplus immediately before and after ruin under force of interest, The Gerber-Shiu discounted penalty function: a review from practical perspectives

Cites Work

• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Non-life insurance mathematics. An introduction with stochastic processes.
• The Gerber-Shiu discounted penalty function in the stationary renewal risk model.
• Lundberg approximations for compound distributions with insurance applications
• On the Density and Moments of the Time of Ruin with Exponential Claims
• Explicit Solutions for Survival Probabilities in the Classical Risk Model
• On the Time Value of Ruin