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

DOI10.1016/J.SPL.2005.12.024zbMATH Open1161.60334OpenAlexW2001275281MaRDI QIDQ2494876FDOQ2494876

Authors: Ming Zhou, Huayue Zhang, Junyi 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

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zbMATH Keywords

ruin probabilityintegro-differential equationsurplus before ruindeficit at ruindiscounted penalty function

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (15)

• Omega model for a jump-diffusion process with a two-step premium rate
• On the expected discounted penalty functions for two classes of risk processes under a threshold dividend strategy
• Risk process with stochastic income and two-step premium rate
• On a modification of the classical risk process
• A perturbed risk model with a two-step premium rate
• Gerber-Shiu discounted penalty function for compound Poisson-geometric risk model with variable premium rate
• A state dependent reinsurance model
• The Gerber-Shiu discounted penalty functions for a risk model with two classes of claims
• A reinsurance risk model with a threshold coverage policy: the Gerber-Shiu penalty function
• Title not available (Why is that?)
• On the discounted penalty function in a two-step premium rate model with linear dividend barrier
• Refracted Lévy processes
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Title not available (Why is that?)
• The Gerber-Shiu function for the compound Poisson Omega model with a three-step premium rate

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