Approximations for the Gerber-Shiu expected discounted penalty function in the compound poisson risk model

DOI10.1239/aap/1183667616zbMath1122.60076OpenAlexW1992308460MaRDI QIDQ3590744

Konstadinos Politis, Susan M. Pitts

Publication date: 3 September 2007

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aap/1183667616

zbMATH Keywords

deficit at ruinsurplus prior to ruintime of ruindefective renewal equationfunctional approach

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

Related Items (7)

Nonparametric estimation of the finite-time survival probability with zero initial capital in the classical risk model ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ An insurance risk model with stochastic volatility ⋮ Approximations for the moments of ruin time in the compound Poisson model ⋮ Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions ⋮ Minimising expected discounted capital injections by reinsurance in a classical risk model ⋮ Fourier-cosine method for Gerber-Shiu functions

Cites Work

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