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

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

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)

Cites Work

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Cited In (11)

• Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions
• On the expected discounted penalty function for the compound Poisson risk model with delayed claims
• Fourier-cosine method for Gerber-Shiu functions
• Nonparametric estimation of the finite-time survival probability with zero initial capital in the classical risk model
• Approximations for the moments of ruin time in the compound Poisson model
• Title not available (Why is that?)
• Title not available (Why is that?)
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• An insurance risk model with stochastic volatility
• The Gerber-Shiu function for the compound Poisson Omega model with a three-step premium rate
• Minimising expected discounted capital injections by reinsurance in a classical risk model

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