On a perturbed compound Poisson model with varying premium rates

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

A generalized defective renewal equation for the surplus process perturbed by diffusion.
A perturbed risk model with dependence between premium rates and claim sizes
A risk model with varying premiums: its risk management implications
Erlangian approximation to finite time ruin probabilities in perturbed risk models
Erlangian Approximations for Finite-Horizon Ruin Probabilities
Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times
scientific article; zbMATH DE number 3364606 (Why is no real title available?)
Introductory lectures on fluctuations of Lévy processes with applications.
On a generalized Gerber-Shiu function in a compound Poisson model perturbed by diffusion
On a perturbed by diffusion compound Poisson risk model with delayed claims and multi-layer dividend strategy
On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation
On the discounted distribution functions of the surplus process perturbed by diffusion.
On the modification of Rouche's theorem for the queueing theory problems
On the Time Value of Ruin
Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models
Randomized observation periods for the compound Poisson risk model: the discounted penalty function
Randomized onservation periods for the compound Poisson risk model: dividends
The Markov additive risk process under an Erlangized dividend barrier strategy
The ruin time under the Sparre Andersen dual model

Cited in

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A note on a Lévy insurance risk model under periodic dividend decisions
The compound Poisson risk model under a mixed dividend strategy
A risk model with varying premiums: its risk management implications
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The Gerber-Shiu discounted penalty function for the bi-seasonal discrete time risk model
A perturbed risk model with a two-step premium rate
scientific article; zbMATH DE number 6401741 (Why is no real title available?)
On variational bounds in the compound Poisson approximation of the individual risk model

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