On the Gerber-Shiu function and change of measure
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Publication:659175
DOI10.1016/j.insmatheco.2009.04.004zbMath1231.91232OpenAlexW1987911829MaRDI QIDQ659175
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
Laplace transformperturbed risk modelchange of measureexpected discounted penalty functionSparre Andersen risk modelBjörk-Grandell risk modellump sum premiaMarkov-modulated risk model
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Related Items (10)
A Note on Gerber–Shiu Functions with an Application ⋮ Mathematical model of banking operation ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ The Markovian shot-noise risk model: a numerical method for Gerber-Shiu functions ⋮ Estimation of the expected discounted penalty function for Lévy insurance risks ⋮ Mathematical investigation of the Gerber-Shiu function in the case of dependent inter-claim time and claim size ⋮ A Direct Approach to the Discounted Penalty Function ⋮ Optimal Control of Capital Injections by Reinsurance with a Constant Rate of Interest ⋮ Minimising expected discounted capital injections by reinsurance in a classical risk model ⋮ A note on compound renewal risk models with dependence
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