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

DOI10.1080/10920277.2007.10597453zbMATH Open1480.91256OpenAlexW2094220804MaRDI QIDQ5019733FDOQ5019733

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

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Mathematics Subject Classification ID

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

Cites Work

• On the Time Value of Ruin
• On the expected discounted penalty function at ruin of a surplus process with interest.
• Ruin probabilities and penalty functions with stochastic rates of interest
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• Title not available (Why is that?)
• Lundberg approximations for compound distributions with insurance applications
• Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
• Recursive calculation of finite time ruin probabilities under interest force.
• The adjustment function in ruin estimates under interest force
• Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.
• On the distribution of surplus immediately after ruin under interest force
• On a joint distribution for the risk process with constant interest force

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
• Extended Gerber-Shiu functions in a risk model with interest
• On the renewal risk model with interest and dividend
• 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
• Title not available (Why is that?)
• On the Gerber-Shiu function and change of measure

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