Exact and Asymptotic Results for Insurance Risk Models with Surplus-dependent Premiums
From MaRDI portal
Publication:4923311
DOI10.1137/110852000zbMath1264.91068arXiv1110.5276OpenAlexW2028271507MaRDI QIDQ4923311
Markus Rosenkranz, Georg Regensburger, Corina Constantinescu, Zbigniew Palmowski, Hansjoerg Albrecher
Publication date: 6 June 2013
Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1110.5276
boundary value problemsasymptotic expansionsrenewal risk modelsGreen's operatorssurplus dependent premiums
Green's functions for ordinary differential equations (34B27) Linear boundary value problems for ordinary differential equations (34B05)
Related Items
On the optimal dividend problem for insurance risk models with surplus-dependent premiums, On the optimal dividend problem in the dual model with surplus-dependent premiums, On integro-differential algebras., The Cramér-Lundberg model with a fluctuating number of clients, Optimal investment strategies for an insurer with liquid constraint, The Gerber-Shiu discounted penalty function: a review from practical perspectives, A ruin model with a resampled environment, On the ruin probability for nonhomogeneous claims and arbitrary inter-claim revenues, A transient Cramér–Lundberg model with applications to credit risk, Constructions of Free Commutative Integro-Differential Algebras, An application of fractional differential equations to risk theory, Fluctuation theory for level-dependent Lévy risk processes, Wealth investment strategies for insurance companies and the probability of ruin, Optimal investment for an insurer under liquid reserves, Potential measures for spectrally negative Markov additive processes with applications in ruin theory, Shot-noise queueing models, Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions, Modeling the effect of spending on cyber security by using surplus process, Discrete-time risk models with surplus-dependent premium corrections, An application of risk theory to mortgage lending, Affine Storage and Insurance Risk Models, Gerber-Shiu analysis with two-sided acceptable levels
