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

DOI10.1007/S13385-014-0090-3MaRDI QIDQ487623zbMATH OpenOpenAlexFDO

Authors Zied Ben Salah

Publication date 22 January 2015

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

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

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)

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.

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Cites work

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• Minimising expected discounted capital injections by reinsurance in a classical risk model
• On a generalization of the Gerber-Shiu function to path-dependent penalties
• On the Time Value of Ruin
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Cited in

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• On fair reinsurance premiums; capital injections in a perturbed risk model
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