On a general class of renewal risk process: analysis of the Gerber-Shiu function

DOI10.1239/AAP/1127483750zbMATH Open1077.60063OpenAlexW2073891680MaRDI QIDQ5697205FDOQ5697205

Authors:

Publication date: 17 October 2005

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1127483750

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zbMATH Keywords

Laplace transformmartingalegeneralized Lundberg equationSparre Andersen risk processdefective renewal equations\(K_n\) family of distributions

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

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Cited In (72)

• On an insurance ruin model with a causal dependence structure and perturbation
• Determining exact survival probability by setting discrete random variables in E. Sparre Andersen's model
• The two-barrier escape problem for compound renewal processes with two-sided jumps
• On the Gerber–Shiu function with random discount rate
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Author's reply: ``On the Laplace transform of the aggregate discounted claims with Markovian arrivals -- discussion by Professor Elias Shiu, April 2008
• Moments of renewal shot-noise processes and their applications
• Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times
• On the joint distribution of surplus before and after ruin under a Markovian regime switching model
• Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence
• On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution
• Drawdown analysis for the renewal insurance risk process
• An algebraic operator approach to the analysis of Gerber-Shiu functions
• The Markovian shot-noise risk model: a numerical method for Gerber-Shiu functions
• On the joint distributions of the time to ruin, the surplus prior to ruin, and the deficit at ruin in the classical risk model
• Constant dividend barrier in a risk model with interclaim-dependent claim sizes
• The Gerber-Shiu penalty functions for two classes of renewal risk processes
• An insurance risk model with Parisian implementation delays
• Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier
• The distribution of total dividend payments in a Sparre Andersen model
• The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion
• Computing the Gerber-Shiu function by frame duality projection
• On the discounted penalty function in the renewal risk model with general interclaim times
• On a class of stochastic models with two-sided jumps
• On the analysis of ruin-related quantities in the delayed renewal risk model
• On a generalization from ruin to default in a Lévy insurance risk model
• A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model
• On the total operating costs up to default in a renewal risk model
• A connection between the discounted and non-discounted expected penalty functions in the Sparre Andersen risk model
• The discounted joint distribution of the surplus prior to ruin and the deficit at ruin in a Sparre Andersen model
• On the improved thinning risk model under a periodic dividend barrier strategy
• Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
• On the discounted penalty function in a Markov-dependent risk model
• Weak convergence approach to compound Poisson risk processes perturbed by diffusion
• Fourier-cosine method for finite-time Gerber-Shiu functions
• On a generalization of the expected discounted penalty function in a discrete-time insurance risk model
• A note on a class of delayed renewal risk processes
• The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times
• Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation
• A class of Sparre Andersen risk process
• Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times
• On the discounted penalty function in a discrete time renewal risk model with general interclaim times
• The Gerber-Shiu function and the generalized Cramér-Lundberg model
• The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model
• A reinsurance risk model with a threshold coverage policy: the Gerber-Shiu penalty function
• An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
• On the moments of the time to ruin in dependent Sparre Andersen models with emphasis on Coxian interclaim times
• Criterion of semi-Markov dependent risk model
• Application of advanced integrodifferential equations in insurance mathematics and process engineering
• Gerber-Shiu functionals for classical risk processes perturbed by an \(\alpha\)-stable motion
• Some remarks on delayed renewal risk models
• Gerber-Shiu analysis with a generalized penalty function.
• On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation
• On the analysis of a general class of dependent risk processes
• Discrete time ruin probability with Parisian delay
• Maximum surplus and \(R_n\) class of distributions with an application to dividends
• On a risk model with dependence between interclaim arrivals and claim sizes
• Analysis of ruin measures in a class of risk models
• A Simple and Complete Solution to the Stationary Queue-Length Probabilities of a Bulk-Arrival Bulk-Service Queue
• On a renewal risk process with dependence under a Farlie-Gumbel-Morgenstern copula
• On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
• Randomized observation periods for the compound Poisson risk model: the discounted penalty function
• The proper distribution function of the deficit in the delayed renewal risk model
• Potential measures for spectrally negative Markov additive processes with applications in ruin theory
• Surplus analysis for a class of Coxian interclaim time distributions with applications to mixed Erlang claim amounts
• On the expected discounted penalty function for Lévy risk processes
• A unifying approach to the analysis of business with random gains
• Dependent Risk Models with Bivariate Phase-Type Distributions
• On a Sparre Andersen risk model perturbed by a spectrally negative Lévy process
• Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times
• On the Gerber-Shiu function and change of measure
• The time of recovery and the maximum severity of ruin in a Sparre Andersen model

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