Approximations for the Gerber-Shiu expected discounted penalty function in the compound poisson risk model
From MaRDI portal
Publication:3590744
DOI10.1239/aap/1183667616zbMath1122.60076MaRDI 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
deficit at ruin; surplus prior to ruin; time of ruin; defective renewal equation; functional approach
Related Items
An insurance risk model with stochastic volatility, Approximations for the moments of ruin time in the compound Poisson model, Nonparametric estimation of the finite-time survival probability with zero initial capital in the classical risk model, Minimising expected discounted capital injections by reinsurance in a classical risk model
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On ruin for the Erlang \((n)\) risk process
- A functional approach to the stationary waiting time and idle period distributions of the \(GI/G/1\) queue
- A functional approach to approximations for the observed open times in single ion channel models
- On the time to ruin for Erlang(2) risk processes.
- The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
- Lundberg approximations for compound distributions with insurance applications
- Approximations for solutions of renewal-type equations
- Analysis of a defective renewal equation arising in ruin theory
- Stochastic models as functionals: some remarks on the renewal case
- Fitting combinations of exponentials to probability distributions
- On the Distribution of the Deficit at Ruin when Claims are Phase-type
- A Functional Approach to Approximations for the Individual Risk Model
- Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
- The Time Value of Ruin in a Sparre Andersen Model
- On the Time Value of Ruin
