On the Gerber-Shiu function and change of measure

DOI10.1016/J.INSMATHECO.2009.04.004zbMATH Open1231.91232OpenAlexW1987911829MaRDI QIDQ659175FDOQ659175

Authors: Hanspeter Schmidli 

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.04.004

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zbMATH Keywords

Laplace transformchange of measureperturbed risk modelexpected discounted penalty functionSparre Andersen risk modellump sum premiaMarkov-modulated risk modelBjörk-Grandell risk model

Mathematics Subject Classification ID

Cites Work

• The Time Value of Ruin in a Sparre Andersen Model
• Large deviations results for subexponential tails, with applications to insurance risk
• Title not available (Why is that?)
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• On the Time Value of Ruin
• Risk theory for the compound Poisson process that is perturbed by diffusion
• On the discounted penalty function in the renewal risk model with general interclaim times
• Risk theory in a Markovian environment
• A generalized defective renewal equation for the surplus process perturbed by diffusion.
• Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Exponential inequalities for ruin probabilities in the Cox case
• Lundberg inequalities for a Cox model with a piecewise constant intensity
• Lundberg inequalities for renewal equations
• On a general class of renewal risk process: analysis of the Gerber-Shiu function
• Title not available (Why is that?)
• On the distribution of the surplus prior to ruin
• An extension to the renewal theorem and an application to risk theory
• On the Distribution of the Surplus Prior and at Ruin
• Distribution of the first ladder height of a stationary risk process perturbed by \(\alpha\)-stable Lévy motion

Cited In (11)

• The Markovian shot-noise risk model: a numerical method for Gerber-Shiu functions
• Estimation of the expected discounted penalty function for Lévy insurance risks
• A note on Gerber-Shiu functions with an application
• Mathematical model of banking operation
• Mathematical investigation of the Gerber-Shiu function in the case of dependent inter-claim time and claim size
• Optimal Control of Capital Injections by Reinsurance with a Constant Rate of Interest
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Ruin probabilities and the ruin time distribution
• A note on compound renewal risk models with dependence
• A Direct Approach to the Discounted Penalty Function
• Minimising expected discounted capital injections by reinsurance in a classical risk model

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