Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times

DOI10.1016/J.CAM.2010.08.003MaRDI QIDQ609205zbMATHOpenAlexFDO

Authors Zhimin Zhang, Hu Yang

Publication date 30 November 2010

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2010.08.003

zbMATH Keywords

Laplace transformruin probabilityintegro-differential equationGerber-Shiu function

Mathematics Subject Classification ID

Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20) Stochastic models in economics (91B70)

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Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 3364606 (Why is no real title available?)
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• An introduction to copulas.
• Analysis of a defective renewal equation arising in ruin theory
• Analysis of ruin measures for the classical compound Poisson risk model with dependence
• On a risk model with dependence between interclaim arrivals and claim sizes
• On ruin for the Erlang \((n)\) risk process
• On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
• On the discounted distribution functions of the surplus process perturbed by diffusion.
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• On the expectations of the present values of the time of ruin perturbed by diffusion.
• On the moments of the surplus process perturbed by diffusion.
• On the time to ruin for Erlang(2) risk processes.
• Risk theory for the compound Poisson process that is perturbed by diffusion
• Stationary distributions for fluid flow models with or without brownian noise
• The Time Value of Ruin in a Sparre Andersen Model

Cited in

(35)

• Analysis of ruin measures for the classical compound Poisson risk model with dependence
• On a renewal risk process with dependence under a Farlie-Gumbel-Morgenstern copula
• On a perturbed by diffusion compound Poisson risk model with delayed claims and multi-layer dividend strategy
• The risk model with stochastic premiums and a multi-layer dividend strategy
• 带延迟索赔和随机收入的离散风险模型的Gerber-Shiu分析（英）
• Combination of perturbation and Taylor series expansions for solving mathematical model of cardiovascular-respiratory system
• Gerber-Shiu analysis on a perturbed risk model with tail dependence via spearman copula between claim size and claim arrival times
• On a risk model with random incomes and dependence between claim sizes and claim intervals
• Gerber-Shiu functions for a perturbed renewal risk model with two classes of claims
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• A note on a generalized discounted penalty function in a Sparre Andersen risk model perturbed by diffusion
• The risk model with stochastic premiums, dependence and a threshold dividend strategy
• The maximum surplus before ruin for dependent risk models through Farlie-Gumbel-Morgenstern copula
• On a perturbed dual risk model with dependence between inter-gain times and gain sizes
• On a perturbed Sparre Andersen risk model with threshold dividend strategy and dependence
• On the compound Poisson risk model with dependence and a threshold dividend strategy
• On the probability of ruin in the compound Poisson risk model with potentially delayed claims
• On an insurance ruin model with a causal dependence structure and perturbation
• A unified approach to stochastic comparisons of multivariate mixture models
• The Gerber-Shiu expected penalty function for the risk model with dependence and a constant dividend barrier
• Estimating the Gerber–Shiu function by Fourier–Sinc series expansion
• A perturbed risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
• Moments of discounted aggregate claims with dependence based on Spearman copula
• The maximum surplus before ruin in a jump-diffusion insurance risk process with dependence
• On a generalized Gerber-Shiu function in a compound Poisson model perturbed by diffusion
• Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion
• On a perturbed compound Poisson model with varying premium rates
• Nonparametric estimation of ruin probability by a new method in the perturbed compound Poisson model
• Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation
• EXTENSION OF THE COMPOUND POISSON MODEL VIA THE SPEARMAN COPULA
• On a perturbed Sparre Andersen risk model with dividend barrier and dependence
• A dependent insurance risk model with surrender and investment under the thinning process
• Stochastic comparison of multivariate conditionally dependent mixtures
• On the discounted penalty function in a perturbed Erlang renewal risk model with dependence
• On the expected discounted penalty function for a risk model with dependence under a multi-layer dividend strategy

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