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

DOI10.1016/J.JKSS.2011.12.004MaRDI QIDQ457313zbMATHOpenAlexFDO

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

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)

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Cites work

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• On Ultimate Ruin in a Delayed-Claims Risk Model
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• On the Time Value of Ruin
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• On the expected discounted penalty function for the compound Poisson risk model with delayed claims
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Cited in

(15)

• The discounted penalty function in a class of delayed renewal risk models
• 带延迟索赔和随机收入的离散风险模型的Gerber-Shiu分析（英）
• scientific article; zbMATH DE number 6961075 (Why is no real title available?)
• scientific article; zbMATH DE number 6001232 (Why is no real title available?)
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• The Gerber-Shiu discounted penalty function in the delayed renewal risk process with random income
• The Gerber-Shiu discounted penalty function in the stationary renewal risk model.
• Some remarks on delayed renewal risk models
• On a risk model with delayed claims under stochastic interest rates
• On the Gerber-Shiu function of a MAP risk model with possible delayed phase-type by-claims
• The Gerber-Shiu discounted penalty functions for a risk model with two classes of claims
• 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
• On the expected discounted penalty function in a delayed-claims risk model
• On the Gerber-Shiu discounted penalty function in a risk model with two types of delayed-claims and random income

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