On the Gerber–Shiu function with random discount rate
From MaRDI portal
Publication:2980055
DOI10.1080/03610926.2014.988265zbMath1360.62067OpenAlexW2525357371MaRDI QIDQ2980055
Publication date: 27 April 2017
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2014.988265
Related Items
On a discrete interaction risk model with delayed claims and stochastic incomes under random discount rates, The Gerber-Shiu discounted penalty function: a review from practical perspectives
Cites Work
- Unnamed Item
- A note on scale functions and the time value of ruin for Lévy insurance risk processes
- On a generalization of the Gerber-Shiu function to path-dependent penalties
- Interest and mortality randomness in some annuities
- On ruin for the Erlang \((n)\) risk process
- On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution
- The compound Poisson risk model with multiple thresholds
- Extra randomness in certain annuity models
- On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
- On the time to ruin for Erlang(2) risk processes.
- A generalized defective renewal equation for the surplus process perturbed by diffusion.
- The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
- The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
- Analysis of a defective renewal equation arising in ruin theory
- On a risk model with surplus-dependent premium and tax rates
- Lundberg's risk process with tax
- Overshoots and undershoots of Lévy processes
- The compound Poisson risk model with a threshold dividend strategy
- The perturbed compound Poisson risk model with two-sided jumps
- A Direct Approach to the Discounted Penalty Function
- A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
- The Density of the Time to Ruin in the Classical Poisson Risk Model
- On a general class of renewal risk process: analysis of the Gerber-Shiu function
- The Time Value of Ruin in a Sparre Andersen Model
- On the Time Value of Ruin