On the Gerber-Shiu discounted penalty function in a risk model with delayed claims

DOI10.1016/J.JKSS.2011.12.004zbMATH Open1296.91172OpenAlexW2058781601MaRDI QIDQ457313FDOQ457313

Authors: Wei Zou, Jie-hua Xie 

Publication date: 26 September 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2011.12.004

Recommendations

• On the Gerber-Shiu discounted penalty function in a risk model with two types of delayed-claims and random income
• On the expected discounted penalty function in a delayed-claims risk model
• On the expected discounted penalty function for the compound Poisson risk model with delayed claims
• On a risk model with delayed claims under stochastic interest rates
• On a compound Poisson risk model with delayed claims and random incomes

zbMATH Keywords

Laplace transformdefective renewal equationGerber-Shiu discounted penalty functioncontinuous time risk modeldelayed claim

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Brownian motion (60J65) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Cites Work

• On the time to ruin for Erlang(2) risk processes.
• On the expected discounted penalty functions for two classes of risk processes
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the Time Value of Ruin
• Single-server queue with Markov-dependent inter-arrival and service times
• On ruin for the Erlang \((n)\) risk process
• Ruin probabilities allowing for delay in claims settlement
• Ruin probabilities for time-correlated claims in the compound binomial model.
• On Ultimate Ruin in a Delayed-Claims Risk Model
• The compound binomial risk model with time-correlated claims
• On the discounted penalty function in a Markov-dependent risk model
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• On the discounted distribution functions of the surplus process perturbed by diffusion.
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• On the expected discounted penalty function for the compound Poisson risk model with delayed claims
• Analysis of a defective renewal equation arising in ruin theory
• Large deviations for risk models in which each main claim induces a delayed claim
• Expected present value of total dividends in a delayed claims risk model under stochastic interest rates

Cited In (12)

• On the expected discounted penalty function for the compound Poisson risk model with delayed claims
• On the probability of ruin in a continuous risk model with two types of delayed claims
• 带延迟索赔和随机收入的离散风险模型的Gerber-Shiu分析（英）
• The Gerber-Shiu discounted penalty function in the delayed renewal risk process with random income
• The Gerber-Shiu discounted penalty functions for a risk model with two classes of claims
• The discounted penalty function in a class of delayed renewal risk models
• The Gerber-Shiu discounted penalty function in the stationary renewal risk model.
• Some remarks on delayed renewal risk models
• Title not available (Why is that?)
• On a Risk Model With Delayed Claims Under Stochastic Interest Rates
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Title not available (Why is that?)

This page was built for publication: On the Gerber-Shiu discounted penalty function in a risk model with delayed claims

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q457313)