On the expected discounted penalty function for Lévy risk processes

DOI10.1080/10920277.2006.10597421zbMATH Open1480.91076OpenAlexW2020623964MaRDI QIDQ5018745FDOQ5018745

Authors:

Publication date: 22 December 2021

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://spectrum.library.concordia.ca/6672/1/6_05_Garrido_Morales.pdf

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Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Risk models (general) (91B05)

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Cited In (51)

• On the threshold dividend strategy for a generalized jump-diffusion risk model
• Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence
• Ruin and deficit under claim arrivals with the order statistics property
• The Markovian shot-noise risk model: a numerical method for Gerber-Shiu functions
• Estimation of the expected discounted penalty function for Lévy insurance risks
• First and last passage times of spectrally positive Lévy processes with application to reliability
• Computing the finite-time expected discounted penalty function for a family of Lévy risk processes
• Generalized expected discounted penalty function at general drawdown for Lévy risk processes
• Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus
• Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion
• Fourier-cosine method for Gerber-Shiu functions
• On a generalization of the Gerber-Shiu function to path-dependent penalties
• Applications of factorization embeddings for Lévy processes
• Extended Gerber-Shiu functions in a risk model with interest
• The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion
• Risk Theory with the Generalized Inverse Gaussian Lévy Process
• Title not available (Why is that?)
• Computing the Gerber-Shiu function by frame duality projection
• Path decomposition of ruinous behavior for a general Lévy insurance risk process
• On spectrally positive Lévy risk processes with Parisian implementation delays in dividend payments
• Characterization of the Minimal Penalty of a Convex Risk Measure with Applications to Robust Utility Maximization for Lévy Models
• On a generalization from ruin to default in a Lévy insurance risk model
• A generalised Gerber-Shiu measure for Markov-additive risk processes with phase-type claims and capital injections
• Fourier-cosine method for finite-time Gerber-Shiu functions
• A note on scale functions and the time value of ruin for Lévy insurance risk processes
• An insurance risk process with a generalized income process: a solvency analysis
• Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation
• Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model
• Some expressions of a generalized version of the expected time in the red and the expected area in red
• Lévy insurance risk process with Poissonian taxation
• The Gerber-Shiu expected discounted penalty function for Lévy insurance risk processes
• Strategies for dividend distribution: a review
• Valuation of discrete dynamic fund protection under Lévy processes
• On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk theory
• Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory
• Finite time ruin probabilities for tempered stable insurance risk processes
• On fair reinsurance premiums; capital injections in a perturbed risk model
• On the expected discounted penalty function for a perturbed risk process driven by a subordinator
• Gerber-Shiu function for a class of Markov-modulated Lévy risk processes with two-sided jumps
• The joint density function of three characteristics and the Gerber-Shiu discounted penalty function for the spectrally negative Levy process
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Game theoretic valuation of deposit insurance under jump risk: from too small to survive to too big to fail
• The Gerber-Shiu function for a risk model perturbed by stable Lévy motion
• Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion
• Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approach
• An insurance risk model with stochastic volatility
• ON A RISK PROCESS DRIVEN BY A SUBORDINATOR WITH LIQUID RESERVES, CREDIT AND DEBIT INTEREST
• Risk modelling on liquidations with Lévy processes
• A risk model driven by Lévy processes
• A note on a Lévy insurance risk model under periodic dividend decisions
• On the expected discounted penalty function for risk process with tax

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