Some remarks on delayed renewal risk models

DOI10.2143/AST.40.1.2049225zbMATH Open1230.91083OpenAlexW2021672805MaRDI QIDQ3569711FDOQ3569711

Authors Jae-Kyung Woo

Publication date 21 June 2010

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.40.1.2049225

zbMATH Keywords

Gerber-Shiu functionlast interclaim timedelayed renewal risk modellast ladder heightCramér's asymptotic ruin formula

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Recommendations

• A note on a class of delayed renewal risk processes
• Extension of some classical results on ruin probability to delayed renewal model
• The discounted penalty function in a class of delayed renewal risk models
• On the Gerber-Shiu discounted penalty function in a risk model with delayed claims
• A risk model with delayed claims

Cites work

• scientific article; zbMATH DE number 3168165 (Why is no real title available?)
• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• A note on a class of delayed renewal risk processes
• A ruin model with dependence between claim sizes and claim intervals
• Aspects of risk theory
• Dependent Risk Models with Bivariate Phase-Type Distributions
• On a general class of renewal risk process: analysis of the Gerber-Shiu function
• On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
• On the discounted penalty function in the renewal risk model with general interclaim times
• Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
• Surplus analysis for a class of Coxian interclaim time distributions with applications to mixed Erlang claim amounts
• The Gerber-Shiu discounted penalty function in the stationary renewal risk model.
• The Time Value of Ruin in a Sparre Andersen Model
• The surpluses immediately before and at ruin, and the amount of the claim causing ruin

Cited in

(14)

• On a renewal risk process with dependence under a Farlie-Gumbel-Morgenstern copula
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes
• Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion
• Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times
• A unified analysis of claim costs up to ruin in a Markovian arrival risk model
• A generalized penalty function for a class of discrete renewal processes
• Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times
• Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps
• Moments of renewal shot-noise processes and their applications
• On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model
• A note on discounted compound renewal sums under dependency
• On the analysis of ruin-related quantities in the delayed renewal risk model
• A delayed dual risk model

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