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

DOI10.1080/03461238.2018.1560955MaRDI QIDQ5743541zbMATH OpenOpenAlexWikidataFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1528193 (Why is no real title available?)
• scientific article; zbMATH DE number 3364606 (Why is no real title available?)
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• On a partial integrodifferential equation of Seal's type
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• Some ruin problems for the MAP risk model
• The Density of the Time to Ruin in the Classical Poisson Risk Model
• The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
• The joint density function of three characteristics on jump-diffusion risk process.
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• The probability of ruin in finite time with discrete claim size distribution

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
• On the improved thinning risk model under a periodic dividend barrier strategy
• Ruin-related problems in the dual risk model under two different randomized observations
• 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
• On a generalization of the expected discounted penalty function to include deficits at and beyond ruin
• Moment and polynomial bounds for ruin-related quantities in risk theory
• 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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