An algebraic operator approach to the analysis of Gerber-Shiu functions

DOI10.1016/j.insmatheco.2009.02.002zbMath1231.91135OpenAlexW2001767788MaRDI QIDQ659180

Georg Regensburger, Corina Constantinescu, Markus Rosenkranz, Hansjoerg Albrecher, Gottlieb Isabel Pirsic

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.2009.02.002

Mathematics Subject Classification ID

Related Items (24)

Relations between integrated tails and moments based on the deficit at ruin in the renewal risk model ⋮ Ruin probabilities in classical risk models with gamma claims ⋮ On integro-differential algebras. ⋮ Transforming problems from analysis to algebra: a case study in linear boundary problems ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Integral Equations, Quasi-Monte Carlo Methods and Risk Modeling ⋮ Asymptotic results for renewal risk models with risky investments ⋮ Archimedean copulas in finite and infinite dimensions -- with application to ruin problems ⋮ On the total operating costs up to default in a renewal risk model ⋮ An elementary approach to discrete models of dividend strategies ⋮ Constructions of Free Commutative Integro-Differential Algebras ⋮ A noncommutative algebraic operational calculus for boundary problems ⋮ An application of fractional differential equations to risk theory ⋮ An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models ⋮ Mathematical investigation of the Gerber-Shiu function in the case of dependent inter-claim time and claim size ⋮ On a generalization from ruin to default in a Lévy insurance risk model ⋮ Potential measures for spectrally negative Markov additive processes with applications in ruin theory ⋮ An algebraic study of multivariable integration and linear substitution ⋮ Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions ⋮ Application of Advanced Integrodifferential Equations in Insurance Mathematics and Process Engineering ⋮ An application of risk theory to mortgage lending ⋮ Fourier-cosine method for Gerber-Shiu functions ⋮ Ruin probabilities in models with a Markov chain dependence structure ⋮ “On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model”, David Landriault and Gordon E. Willmot, April, 2009

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• An algebraic foundation for factoring linear boundary problems
• On the discounted penalty function in a Markov-dependent risk model
• Solving and factoring boundary problems for linear ordinary differential equations in differential algebras
• On ruin for the Erlang \((n)\) risk process
• On the discounted penalty function in the renewal risk model with general interclaim times
• On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution
• An ODE approach for the expected discounted penalty at ruin in jump-diffusion model
• Advanced determinant calculus
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• On the time to ruin for Erlang(2) risk processes.
• Symbolic calculation of the moments of the time of ruin.
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Symbolic integration I: Transcendental functions
• A new symbolic method for solving linear two-point boundary value problems on the level of operators
• A laplace transform representation in a class of renewal queueing and risk processes
• The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
• On a general class of renewal risk process: analysis of the Gerber-Shiu function
• Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
• The Time Value of Ruin in a Sparre Andersen Model
• On the Time Value of Ruin

This page was built for publication: An algebraic operator approach to the analysis of Gerber-Shiu functions