On the Gerber-Shiu discounted penalty function for subexponential claims

DOI10.1007/S10986-006-0044-9MaRDI QIDQ2471655zbMATH OpenOpenAlexFDO

Authors Jonas Šiaulys, R. Asanavičiūutė

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

classical Lundberg's modeldiscounted penalty functionruin probabilitysubexponential distributions

Mathematics Subject Classification ID

Renewal theory (60K05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Recommendations

• Asymptotic estimates of the discounted penalty function in a perturbed risk model
• Asymptotic behavior of the Gerber-Shiu discounted penalty function in the Erlang(2) risk process with subexponential claims
• Asymptotic estimates of Gerber-Shiu functions in the renewal risk model with exponential claims
• The Gerber-Shiu discounted penalty function for Erlang distributed claims
• On the discounted penalty function for claims having mixed exponential distribution

Cites work

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

Cited in

(10)

• Further results for the joint distribution of the surplus immediately before and after ruin under force of interest
• The Gerber-Shiu discounted penalty functions for a risk model with two classes of claims
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Asymptotic estimates of the discounted penalty function in a perturbed risk model
• Approximations for the Gerber-Shiu expected discounted penalty function in the compound poisson risk model
• On the discounted penalty function for claims having mixed exponential distribution
• Asymptotic behavior of the Gerber-Shiu discounted penalty function in the Erlang(2) risk process with subexponential claims
• Asymptotic estimates of Gerber-Shiu functions in the renewal risk model with exponential claims
• On the Gerber-Shiu function and change of measure
• Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence

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