The compound Poisson surplus model with interest and liquid reserves: Analysis of the Gerber-Shiu discounted penalty function

DOI10.1007/S11009-007-9050-6MaRDI QIDQ835683zbMATH OpenOpenAlexFDO

Authors Jun Cai, Runhuan Feng, Gordon E. Willmot

Publication date 31 August 2009

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-007-9050-6

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

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Cites work

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• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• scientific article; zbMATH DE number 3774661 (Why is no real title available?)
• scientific article; zbMATH DE number 54039 (Why is no real title available?)
• scientific article; zbMATH DE number 920058 (Why is no real title available?)
• On the Time Value of Ruin
• On the distribution of surplus immediately after ruin under interest force
• On the distribution of surplus immediately before ruin under interest force
• On the expected discounted penalty function at ruin of a surplus process with interest.
• Ruin estimates under interest force
• Ruin estimation for a general insurance risk model
• Ruin probabilities and penalty functions with stochastic rates of interest
• The Joint Distribution of Surplus Immediately before Ruin and the Deficit at Ruin under Interest Force
• The adjustment function in ruin estimates under interest force
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin

Cited in

(15)

• Optimal investment strategies for an insurer with liquid constraint
• Optimal investment for an insurer under liquid reserves
• Optimal dividend policies for piecewise-deterministic compound Poisson risk models
• A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium
• ON A RISK PROCESS DRIVEN BY A SUBORDINATOR WITH LIQUID RESERVES, CREDIT AND DEBIT INTEREST
• Numerical computation of Gerber-Shiu function for insurance surplus process with additional investment
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Extended Gerber-Shiu functions in a risk model with interest
• Analysis of the compound Poisson surplus model with liquid reserves, interest and dividends
• Absolute ruin problems in a compound Poisson risk model with constant dividend barrier and liquid reserves
• On a risk model with surplus-dependent premium and tax rates
• Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times
• The perturbed compound Poisson risk process with investment and debit interest
• On the generalized Gerber-Shiu function for surplus processes with interest
• On the discounted penalty function in a perturbed Erlang renewal risk model with dependence

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