The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function

DOI10.1016/j.insmatheco.2004.04.006zbMath1103.91046OpenAlexW2029646601MaRDI QIDQ704410

Gordon E. Willmot, Kristina P. Pavlova

Publication date: 13 January 2005

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.04.006

zbMATH Keywords

penalty functioncompound binomial modeldiscrete renewal risk models

Mathematics Subject Classification ID

Related Items (31)

\(\mathrm{G}/\mathrm{M}/1\) type structure of a risk model with general claim sizes in a Markovian environment ⋮ Parisian ruin for the dual risk process in discrete-time ⋮ The finite-time ruin probability under the compound binomial risk model ⋮ Discrete time ruin probability with Parisian delay ⋮ The Gerber-Shiu discounted penalty function in the delayed renewal risk process with random income ⋮ Probability of ruin in discrete insurance risk model with dependent Pareto claims ⋮ Gerber-Shiu function of a discrete risk model with and without a constant dividend barrier ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Discrete risk model revisited ⋮ Asymptotics in a time-dependent renewal risk model with stochastic return ⋮ An elementary approach to discrete models of dividend strategies ⋮ On a class of renewal risk model with random income ⋮ On a generalization of the expected discounted penalty function in a discrete-time insurance risk model ⋮ The Time Value of Ruin in a Sparre Andersen Model ⋮ On the expected discounted penalty function for the continuous-time compound binomial risk model ⋮ On the discounted penalty function in the discrete time stationary renewal risk model ⋮ Joint Distributions of Some Ruin Related Quantities in the Compound Binomial Risk Model ⋮ Discrete Lundberg-type bounds with actuarial applications ⋮ Ruin probabilities in the discrete time renewal risk model ⋮ A note on the compound binomial model with randomized dividend strategy ⋮ On a discrete-time risk model with general income and time-dependent claims ⋮ On the discounted penalty function in a discrete time renewal risk model with general interclaim times ⋮ On the discrete-time compound renewal risk model with dependence ⋮ Unnamed Item ⋮ An approximation of minimum initial capital of investment discrete time surplus process with Weibull distribution in a reinsurance company ⋮ The Gerber-Shiu discounted penalty function for a compound binomial risk model with by-claims ⋮ A generalized penalty function for a class of discrete renewal processes ⋮ Direct Derivation of Finite-Time Ruin Probabilities in the Discrete Risk Model with Exponential or Geometric Claims ⋮ Some results on the compound Markov binomial model ⋮ On a class of discrete time renewal risk models ⋮ Distributions of the surplus before ruin, the deficit at ruin and the claim causing ruin in a class of discrete time risk models

Cites Work

• Unnamed Item
• Ruin probabilities in the compound binomial model
• The Gerber-Shiu discounted penalty function in the stationary renewal risk model.
• Discounted probabilities and ruin theory in the compound binomial model
• Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003
• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003
• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003
• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003
• On the Time Value of Ruin

This page was built for publication: The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function