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

DOI10.1016/J.CAM.2010.08.003zbMATH Open1202.91131OpenAlexW2103676881MaRDI QIDQ609205FDOQ609205

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

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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)

Cites Work

• An introduction to copulas.
• On the time to ruin for Erlang(2) risk processes.
• Title not available (Why is that?)
• Stationary distributions for fluid flow models with or without brownian noise
• The Time Value of Ruin in a Sparre Andersen Model
• On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
• On a risk model with dependence between interclaim arrivals and claim sizes
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• Title not available (Why is that?)
• Risk theory for the compound Poisson process that is perturbed by diffusion
• On ruin for the Erlang \((n)\) risk process
• A generalized defective renewal equation for the surplus process perturbed by diffusion.
• On the discounted distribution functions of the surplus process perturbed by diffusion.
• A perturbed risk model with dependence between premium rates and claim sizes
• A ruin model with dependence between claim sizes and claim intervals
• On the moments of the surplus process perturbed by diffusion.
• Analysis of a defective renewal equation arising in ruin theory
• On the expectations of the present values of the time of ruin perturbed by diffusion.
• Analysis of ruin measures for the classical compound Poisson risk model with dependence

Cited In (30)

• 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
• A note on a generalized discounted penalty function in a Sparre Andersen risk model perturbed by diffusion
• The Gerber-Shiu expected penalty function for the risk model with dependence and a constant dividend barrier
• The maximum surplus before ruin for dependent risk models through Farlie–Gumbel–Morgenstern copula
• On an insurance ruin model with a causal dependence structure and perturbation
• On a perturbed by diffusion compound Poisson risk model with delayed claims and multi-layer dividend strategy
• On the probability of ruin in the compound Poisson risk model with potentially delayed claims
• On a renewal risk process with dependence under a Farlie–Gumbel–Morgenstern copula
• On the expected discounted penalty function for a risk model with dependence under 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）
• EXTENSION OF THE COMPOUND POISSON MODEL VIA THE SPEARMAN COPULA
• A unified approach to stochastic comparisons of multivariate mixture models
• The risk model with stochastic premiums, dependence and a threshold dividend strategy
• On a perturbed Sparre Andersen risk model with threshold dividend strategy and dependence
• On a generalized Gerber-Shiu function in a compound Poisson model perturbed by diffusion
• The risk model with stochastic premiums and a multi-layer dividend strategy
• A dependent insurance risk model with surrender and investment under the thinning process
• Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion
• Moments of discounted aggregate claims with dependence based on Spearman copula
• On a perturbed Sparre Andersen risk model with dividend barrier and dependence
• On the discounted penalty function in a perturbed Erlang renewal risk model with dependence
• Title not available (Why is that?)
• Stochastic comparison of multivariate conditionally dependent mixtures
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Estimating the Gerber–Shiu function by Fourier–Sinc series expansion
• On the compound Poisson risk model with dependence and a threshold dividend strategy
• On a perturbed compound Poisson model with varying premium rates
• Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation

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