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

DOI10.1007/S11009-007-9050-6zbMATH Open1170.91407OpenAlexW2065147480MaRDI QIDQ835683FDOQ835683

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

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Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Cites Work

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• On the expected discounted penalty function at ruin of a surplus process with interest.
• Ruin estimates under interest force
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• Ruin probabilities and penalty functions with stochastic rates of interest
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• Ruin estimation for a general insurance risk model
• The adjustment function in ruin estimates under interest force
• On the distribution of surplus immediately before ruin under interest force
• The Joint Distribution of Surplus Immediately before Ruin and the Deficit at Ruin under Interest Force
• On the distribution of surplus immediately after ruin under interest force

Cited In (14)

• On the generalized Gerber-Shiu function for surplus processes with interest
• The perturbed compound Poisson risk process with investment and debit interest
• Optimal investment for an insurer under liquid reserves
• Extended Gerber-Shiu functions in a risk model with interest
• On a risk model with surplus-dependent premium and tax rates
• Optimal investment strategies for an insurer with liquid constraint
• Optimal dividend policies for piecewise-deterministic compound Poisson risk models
• Absolute ruin problems in a compound Poisson risk model with constant dividend barrier and liquid reserves
• Analysis of the compound Poisson surplus model with liquid reserves, interest and dividends
• On the discounted penalty function in a perturbed Erlang renewal risk model with dependence
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• 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
• Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times

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