The expected discounted penalty function: from infinite time to finite time

DOI10.1080/03461238.2018.1560955zbMATH Open1411.91303OpenAlexW2909082141WikidataQ128616496 ScholiaQ128616496MaRDI QIDQ5743541FDOQ5743541

Authors: Shuanming Li, Yi Lu, Kristina P. Sendova 

Publication date: 10 May 2019

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2018.1560955

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zbMATH Keywords

Laplace transformpartial integro-differential equationperturbed risk modelparabolic cylinder functionfinite-time expected discounted penalty function

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (45K05)

Cites Work

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Cited In (16)

• On an insurance ruin model with a causal dependence structure and perturbation
• On the distribution of classic and some exotic ruin times
• Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times
• Ruin-related problems in the dual risk model under two different randomized observations
• On the improved thinning risk model under a periodic dividend barrier strategy
• Randomized observation periods for compound Poisson risk model with capital injection and barrier dividend
• Fourier-cosine method for finite-time Gerber-Shiu functions
• Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation
• Infinite series expansion of some finite-time dividend and ruin related functions
• Moment and polynomial bounds for ruin-related quantities in risk theory
• On a generalization of the expected discounted penalty function to include deficits at and beyond ruin
• On the expected discounted penalty function for a perturbed risk process driven by a subordinator
• A scale function based approach for solving integral-differential equations in insurance risk models
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income
• On the time and aggregate claim amount until the surplus drops below zero or reaches a safety level in a jump diffusion risk model

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