A surplus process involving a compound Poisson counting process and applications

DOI10.1080/03610926.2019.1586942MaRDI QIDQ5077255zbMATH OpenOpenAlexWikidataFDO

Authors Yuying Li, Kristina P. Sendova

Publication date 18 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2019.1586942

zbMATH Keywords

Gerber-Shiu functionruin theorycompound Poisson processbatch claim arrivalsHeaviside Expansion Theorem

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• Characterization of the Pólya-Aeppli process
• Complex analysis for mathematics and engineering
• Moments of the time of ruin, surplus before ruin and the deficit at ruin in the Erlang(N) risk process
• Non-life insurance mathematics. An introduction with the Poisson process
• On the Density and Moments of the Time of Ruin with Exponential Claims
• On the Time Value of Ruin
• On the joint distributions of the time to ruin, the surplus prior to ruin, and the deficit at ruin in the classical risk model
• Poisson-logarithmic risk process and applications
• The Density of the Time to Ruin in the Classical Poisson Risk Model
• The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times
• The Pólya-Aeppli process and ruin problems
• The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin

Cited in

(4)

• Systemic infinitesimal over-dispersion on graphical dynamic models
• Generalized iterated Poisson process and applications
• Total duration of negative surplus for the compound Poisson process that is perturbed by diffusion
• Applications of the classical compound Poisson model with claim sizes following a compound distribution

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