On a generalization from ruin to default in a Lévy insurance risk model

DOI10.1007/S11009-012-9282-YMaRDI QIDQ2513640zbMATH OpenOpenAlexFDO

Authors Runhuan Feng, Yasutaka Shimizu

Publication date 28 January 2015

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-012-9282-y

zbMATH Keywords

scale functiondefective renewal equationexpected discounted penalty functionoperator calculuscompound geometric distributionpotential measurecosts up to defaultLévy risk model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Probabilistic potential theory (60J45)

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• A generalization of the classical risk model

Cites work

• A generalized defective renewal equation for the surplus process perturbed by diffusion.
• A matrix operator approach to the analysis of ruin-related quantities in the phase-type renewal risk model
• A note on scale functions and the time value of ruin for Lévy insurance risk processes
• An algebraic operator approach to the analysis of Gerber-Shiu functions
• An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
• Analysis of a defective renewal equation arising in ruin theory
• Applied stochastic control of jump diffusions
• Aspects of risk theory
• Calculation of the probability of eventual ruin by Beekman's convolution series
• Estimation of the expected discounted penalty function for Lévy insurance risks
• Introductory lectures on fluctuations of Lévy processes with applications.
• Lévy Processes and Stochastic Calculus
• Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model
• Nonparametric Estimation of the Ruin Probability for Generalized Risk Processes
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• Nonparametric estimators for the probability of ruin
• On a Classical Risk Model with a Constant Dividend Barrier
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• On a generalization of the Gerber-Shiu function to path-dependent penalties
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• On the expected discounted penalty function for Lévy risk processes
• On the expected discounted penalty function for a perturbed risk process driven by a subordinator
• On the time to ruin for Erlang(2) risk processes.
• On the total operating costs up to default in a renewal risk model
• Regularized inversion of noisy Laplace transforms
• Ruin probabilities and decompositions for general perturbed risk processes.
• Semiparametric Estimation for Non-Ruin Probabilities
• Spectrally negative Lévy processes with applications in risk theory
• The compound Poisson risk model with a threshold dividend strategy

Cited in

(17)

• On the analysis of deep drawdowns for the Lévy insurance risk model
• On the Parisian ruin of the dual Lévy risk model
• Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion
• Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus
• A note on Parisian ruin with an ultimate bankruptcy level for Lévy insurance risk processes
• A note on scale functions and the time value of ruin for Lévy insurance risk processes
• Lévy insurance risk process with Poissonian taxation
• A note on limiting distribution for jumps of Lévy insurance risk model
• Review of statistical actuarial risk modelling
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• A unified analysis of claim costs up to ruin in a Markovian arrival risk model
• Potential measures for spectrally negative Markov additive processes with applications in ruin theory
• Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion
• Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation
• Finite-time expected present value of operating costs until ruin in a bivariate risk model under periodic observation
• A note on a Lévy insurance risk model under periodic dividend decisions
• Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times

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