Moment generating functions of compound renewal sums with discounted claims

DOI10.1080/03461230902745842zbMath1226.60123OpenAlexW1972253250MaRDI QIDQ5894382

David Landriault, Gordon E. Willmot, Jae-Kyung Woo, Eric C. K. Cheung

Publication date: 26 November 2011

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

Full work available at URL: https://doi.org/10.1080/03461230902745842

zbMATH Keywords

renewal theorymoment generating functioncompound Poisson processphase-type distributionsdiscounted aggregate claimsnet interest rateasymptotic and finite time distributions

Mathematics Subject Classification ID

Related Items (18)

On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model ⋮ On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes ⋮ Saddlepoint approximations to tail probabilities and quantiles of inhomogeneous discounted compound Poisson processes with periodic intensity functions ⋮ Bivariate compound renewal sums with discounted claims ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ On the analysis of a general class of dependent risk processes ⋮ A unified analysis of claim costs up to ruin in a Markovian arrival risk model ⋮ Surplus analysis for a class of Coxian interclaim time distributions with applications to mixed Erlang claim amounts ⋮ Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models ⋮ NEW RESULTS ON THE DISTRIBUTION OF DISCOUNTED COMPOUND POISSON SUMS ⋮ Discounted aggregate claim costs until ruin in the discrete-time renewal risk model ⋮ Risk modelling on liquidations with Lévy processes ⋮ A generalized penalty function in the Sparre Andersen risk model with two-sided jumps ⋮ Compound trend renewal process with discounted claims: a unified approach ⋮ A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium ⋮ The order-statistic claim process with dependent claim frequencies and severities ⋮ Analysis of a Generalized Penalty Function in a Semi-Markovian Risk Model ⋮ Gerber-Shiu analysis with two-sided acceptable levels

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