On a generalization from ruin to default in a Lévy insurance risk model
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Publication:2513640
DOI10.1007/S11009-012-9282-YzbMATH Open1307.91096OpenAlexW2040011225MaRDI QIDQ2513640FDOQ2513640
Yasutaka Shimizu, Runhuan Feng
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
Recommendations
- A note on scale functions and the time value of ruin for Lévy insurance risk processes
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- A generalization of the classical risk model
scale functiondefective renewal equationexpected discounted penalty functionoperator calculuscompound geometric distributionpotential measurecosts up to defaultLévy risk model
Processes with independent increments; Lévy processes (60G51) Probabilistic potential theory (60J45)
Cites Work
- Introductory lectures on fluctuations of Lévy processes with applications.
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- Applied stochastic control of jump diffusions
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- Nonparametric Estimation of the Ruin Probability for Generalized Risk Processes
- Estimation of the expected discounted penalty function for Lévy insurance risks
- Semiparametric Estimation for Non-Ruin Probabilities
Cited In (16)
- 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
- 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
- On the analysis of deep drawdowns for the Lévy insurance risk model
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