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

DOI10.1239/AAP/1183667616zbMATH Open1122.60076OpenAlexW1992308460MaRDI QIDQ3590744FDOQ3590744

Authors 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)

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Cited in

(12)

• 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
• Approximations for the moments of ruin time in the compound Poisson model
• Fourier-cosine method for Gerber-Shiu functions
• Some notes on approximations for the deficit at ruin in the compound Poisson risk model
• The Gerber-Shiu function for the compound Poisson Omega model with a three-step premium rate
• Fourier-cosine method for finite-time Gerber-Shiu functions
• Minimising expected discounted capital injections by reinsurance in a classical risk model
• An insurance risk model with stochastic volatility
• On the expected discounted penalty function for the compound Poisson risk model with delayed claims
• scientific article; zbMATH DE number 6531822 (Why is no real title available?)
• scientific article; zbMATH DE number 6531215 (Why is no real title available?)

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