scientific article; zbMATH DE number 3364606

MaRDI QIDQ5637709zbMATH OpenFDO

Authors H. U. Gerber

Publication date 1970

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited in

(84)

• An ODE approach for the expected discounted penalty at ruin in jump-diffusion model
• A new aspect of a risk process and its statistical inference
• The dividend function in the jump-diffusion dual model with barrier dividend strategy
• Extra randomness in certain annuity models
• Ruin probabilities in perturbed risk models
• Asymptotic estimates for the probability of ruin in a Poisson model with diffusion
• Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
• A generalized defective renewal equation for the surplus process perturbed by diffusion.
• On the moments of the surplus process perturbed by diffusion.
• On the expectations of the present values of the time of ruin perturbed by diffusion.
• Moments of discounted dividend payments in a risk model with randomized dividend-decision times
• Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion
• Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
• Bounds on the tails of convolutions of compound distributions
• On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation
• Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion
• The maximum surplus before ruin and related problems in a jump-diffusion renewal risk process
• A generalization of risk model perturbed by diffusion
• Some distributions for classical risk process that is perturbed by diffusion
• Valuing equity-linked death benefits in jump diffusion models
• On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy
• Differentiability of dividends function on jump-diffusion risk process with a barrier dividend strategy
• A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process
• Dividend payments in a perturbed compound Poisson model with stochastic investment and debit interest
• Omega model for a jump-diffusion process with a two-step premium rate
• On the stop-loss transform and order for the surplus process perturbed by diffusion
• Passage times for a spectrally negative Lévy process with applications to risk theory
• On a perturbed compound Poisson model with varying premium rates
• The perturbed compound Poisson risk model with two-sided jumps
• Optimal control of investment, premium and deductible for a non-life insurance company
• Omega model for a jump-diffusion process with a two-step premium rate and a threshold dividend strategy
• Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion
• Optimal life-insurance selection and purchase within a market of several life-insurance providers
• Pricing the zero-coupon bond and its fair premium under a structural credit risk model with jumps
• The compound Poisson process perturbed by a diffusion with a threshold dividend strategy
• On a generalized Gerber-Shiu function in a compound Poisson model perturbed by diffusion
• Optimal Dividends Paid in a Foreign Currency for a Lévy Insurance Risk Model
• A note on ruin problems in perturbed classical risk models
• OPTIMAL DIVIDEND PAYMENTS WHEN CASH RESERVES FOLLOW A JUMP-DIFFUSION PROCESS
• Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion
• Estimating the Gerber–Shiu function by Fourier–Sinc series expansion
• On a perturbed Sparre Andersen risk model with dividend barrier and dependence
• Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs
• Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
• Ruin probabilities for the phase-type dual model perturbed by diffusion
• The stability of the probability of ruin
• A ruin model with a resampled environment
• A transient Cramér-Lundberg model with applications to credit risk
• Diffusion approximations for the maximum of a perturbed random walk
• The expected discounted penalty function: from infinite time to finite time
• Distribution of the first ladder height of a stationary risk process perturbed by -stable Lévy motion
• Smoothness of certain functions in two kinds of risk models with a barrier dividend strategy
• The Cramér-Lundberg model with a fluctuating number of clients
• Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times
• On the ruin probabilities for a general perturbed renewal risk process
• Nonparametric estimation of ruin probability by a new method in the perturbed compound Poisson model
• Nonparametric estimation of some dividend problems in the perturbed compound Poisson model
• The perturbed compound Poisson risk model with proportional investment
• The perturbed compound Poisson risk model with linear dividend barrier
• The maximum surplus distribution before ruin in an Erlang(n) risk process perturbed by diffusion
• An integro-differential equation in compound Poisson risk model with variable threshold dividend payment strategy to shareholders and tail dependence between claims amounts and inter-claim time
• Numerical computation of Gerber-Shiu function for insurance surplus process with additional investment
• Improved bounds on tails of convolutions of compound distributions: application to ruin probabilities for the risk process perturbed by diffusion
• On an insurance ruin model with a causal dependence structure and perturbation
• Conditional law of risk processes given that ruin occurs
• Some stochastic orders and reliability properties for compound geometric distributions, their convolutions, and other ruin-related quantities
• The Gerber-Shiu penalty function for a two-sided renewal risk process perturbed by diffusion
• Optimal dividend and capital injection under self-exciting claims
• Monitoring risk in a ruin model perturbed by diffusion
• Risk theory for the compound Poisson process that is perturbed by diffusion
• Stochastic bounds for the Sparre Andersen process
• Optimal reinsurance/investment problems for general insurance models
• A note on the perturbed compound Poisson risk model with a threshold dividend strategy
• The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy
• Tail asymptotics for the maximum of perturbed random walk
• Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion
• Weak convergence approach to compound Poisson risk processes perturbed by diffusion
• A hyper-exponential jump-diffusion model under the barrier dividend strategy
• Gerber-Shiu functionals for classical risk processes perturbed by an \(\alpha\)-stable motion
• On option pricing under a completely random measure via a generalized Esscher transform
• The expected discounted penalty function for the perturbed compound Poisson risk process with constant interest
• The perturbed Sparre Andersen model with a threshold dividend strategy
• A saddlepoint approximation to the probability of ruin in the compound Poisson process with diffusion
• The use of vector-valued martingales in risk theory

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