On the Gerber-Shiu discounted penalty function for the ordinary renewal risk model with constant interest

DOI10.1080/10920277.2007.10597453MaRDI QIDQ5019733zbMATH OpenOpenAlexFDO

Authors Rong Wu, Yuhua Lü, Ying Fang

Publication date 10 January 2022

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

Full work available at URL https://doi.org/10.1080/10920277.2007.10597453

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cites work

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• On the distribution of surplus immediately after ruin under interest force
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• Recursive calculation of finite time ruin probabilities under interest force.
• Ruin probabilities and penalty functions with stochastic rates of interest
• The adjustment function in ruin estimates under interest force
• Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.

Cited in

(18)

• Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion
• On the time value of ruin for a renewal risk model with interest
• The risk model of the expected discounted penalty function with constant interest force
• Asymptotics in a time-dependent renewal risk model with stochastic return
• A note on discounted compound renewal sums under dependency
• On the renewal risk model with interest and dividend
• Extended Gerber-Shiu functions in a risk model with interest
• Risk- and value-based management for non-life insurers under solvency constraints
• The Gerber-Shiu discounted penalty function in the delayed renewal risk process with random income
• On the renewal risk process with stochastic interest
• On the Gerber–Shiu function with random discount rate
• The Gerber-Shiu discounted penalty function in the stationary renewal risk model.
• The Geber-Shiu discounted penalty function in with Poisson-Geometric risk model
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function
• A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium
• On the Gerber-Shiu function and change of measure
• scientific article; zbMATH DE number 6001232 (Why is no real title available?)

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