Randomized observation periods for the compound Poisson risk model: the discounted penalty function

DOI10.1080/03461238.2011.624686zbMATH Open1401.91089OpenAlexW2093228045MaRDI QIDQ2868615FDOQ2868615

Authors: Eric C. K. Cheung, Stefan Thonhauser, Hansjörg Albrecher 

Publication date: 17 December 2013

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/144575

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zbMATH Keywords

Gerber-Shiu functioncompound Poisson risk modeldefective renewal equationerlangizationdiscounted density

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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Cited In (60)

• Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times
• On the dual risk model with Parisian implementation delays under a mixed dividend strategy
• The role of direct capital cash transfers towards poverty and extreme poverty alleviation - an omega risk process
• On a time-changed Lévy risk model with capital injections and periodic observation
• Optimal dividends for regulated insurers with a nonlinear penalty
• The dual risk model under a mixed ratcheting and periodic dividend strategy
• Finite-time expected present value of operating costs until ruin in a bivariate risk model under periodic observation
• A risk model with varying premiums: its risk management implications
• Periodic threshold-type dividend strategy in the compound Poisson risk model
• The compound Poisson risk model under a mixed dividend strategy
• Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models
• On the distribution of classic and some exotic ruin times
• Discounted probability of exponential Parisian ruin: diffusion approximation
• Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon
• The Omega model: from bankruptcy to occupation times in the red
• The Markov additive risk process under an Erlangized dividend barrier strategy
• A periodic dividend problem with inconstant barrier in Markovian environment
• The expected discounted penalty function in the dual insurance risk model with randomized observation periods
• Ruin-related problems in the dual risk model under two different randomized observations
• RUIN PROBABILITY UNDER COMPOUND POISSON MODELS WITH RANDOM DISCOUNT FACTOR
• Randomized observation periods for compound Poisson risk model with capital injection and barrier dividend
• On optimal dividends with exponential and linear penalty payments
• Detecting changes in a Poisson process monitored at random time intervals
• Asymptotics of the maximum of Brownian motion under Erlangian sampling
• Exit identities for Lévy processes observed at Poisson arrival times
• Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation
• On the randomized Schmitter problem
• Lévy insurance risk process with Poissonian taxation
• Omega diffusion risk model with surplus-dependent tax and capital injections
• Title not available (Why is that?)
• Title not available (Why is that?)
• Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations
• A temporal approach to the Parisian risk model
• Dividends under threshold dividend strategy with randomized observation periods and capital-exchange agreement
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• A Markov-modulated jump-diffusion risk model with randomized observation periods and threshold dividend strategy
• On the expected discounted dividends in the Cramér-Lundberg risk model with more frequent ruin monitoring than dividend decisions
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• On the ruin probability for nonhomogeneous claims and arbitrary inter-claim revenues
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
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• Dividend optimisation: a behaviouristic approach
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• Ruin probabilities in the Cramér-Lundberg model with temporarily negative capital
• On a perturbed compound Poisson model with varying premium rates
• The joint Laplace transforms for diffusion occupation times
• A QUEUEING MODEL WITH RANDOMIZED DEPLETION OF INVENTORY
• On the time spent in the red by a refracted Lévy risk process
• On the distribution of cumulative Parisian ruin
• Optimal consumption and investment problem with random horizon in a BMAP model
• Valuing equity-linked death benefits and other contingent options: a discounted density approach
• A note on a Lévy insurance risk model under periodic dividend decisions
• Log-concavity of compound distributions with applications in operational and actuarial models
• A perturbed risk model with constant interest and periodic barrier dividend strategy
• On the dual risk model with Parisian implementation delays in dividend payments
• Poissonian potential measures for Lévy risk models
• On the compound Poisson risk model with periodic capital injections
• Ornstein-Uhlenback type Omega model
• On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy

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