On a generalization of the expected discounted penalty function to include deficits at and beyond ruin

DOI10.1007/S13385-014-0090-3zbMATH Open1307.91094arXiv1212.5126OpenAlexW1970252518MaRDI QIDQ487623FDOQ487623

Authors: Zied Ben Salah 

Publication date: 22 January 2015

Published in: European Actuarial Journal (Search for Journal in Brave)

Abstract: In this chapter we propose an extended concept of the expected discounted penalty function (EDPF) that takes into account new ruin-related random variables. We add to the EDPF, which was introduced in classical papers [Gerber and Shiu (1997), (1998) and Gerber and Landry (1998)], a sequence of expected discounted functions of new record minima reached by a jump of the risk process after ruin. Inspired by results of Huzak et al. (2004) and developpements in fluctuation theory for spectrally negative L'evy processes, we provide a characterization for this extended EDPF in a setting involving a cumulative claims modelled by a subordinator, and Brownian perturbation. We illustrate how the extended EDPF can be used to compute the expected discounted value of capital injections (EDVCI) for Brownian perturbed risk model.

Full work available at URL: https://arxiv.org/abs/1212.5126

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zbMATH Keywords

Laplace transformruinscale functionGerber-Shiu functioncapital injectionsspecially negative Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Corporate finance (dividends, real options, etc.) (91G50)

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Cited In (4)

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• The expected discounted penalty function: from infinite time to finite time

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