The Gerber-Shiu discounted penalty function for classical risk model with a two-step premium rate

DOI10.1016/j.spl.2005.12.024zbMath1161.60334OpenAlexW2001275281MaRDI QIDQ2494876

Ming Zhou, Hua-Yue Zhang, Jun-Yi Guo

Publication date: 30 June 2006

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2005.12.024

zbMATH Keywords

integro-differential equationruin probabilitysurplus before ruindeficit at ruindiscounted penalty function

Mathematics Subject Classification ID

Related Items (8)

On the expected discounted penalty functions for two classes of risk processes under a threshold dividend strategy ⋮ A state dependent reinsurance model ⋮ The Gerber-Shiu function for the compound Poisson Omega model with a three-step premium rate ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Refracted Lévy processes ⋮ Risk process with stochastic income and two-step premium rate ⋮ A reinsurance risk model with a threshold coverage policy: the Gerber–Shiu penalty function ⋮ On a modification of the classical risk process

Cites Work

• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• Analysis of a defective renewal equation arising in ruin theory
• When does surplus reach a certain level before ruin?
• On the Time Value of Ruin

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