The Gerber-Shiu discounted penalty function in the delayed renewal risk process with random income

DOI10.1016/J.AMC.2006.06.076zbMATH Open1209.60051OpenAlexW1987924250MaRDI QIDQ879562FDOQ879562

Authors: Zhenhua Bao, Zhongxing Ye 

Publication date: 14 May 2007

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2006.06.076

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zbMATH Keywords

ruin probabilityGerber-Shiu discounted penalty functiondelayed renewal risk processSparre-Anderson modelstationary renewal risk process

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

Cites Work

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• On the Time Value of Ruin
• Aspects of risk theory
• Risk process with random income
• A note on a class of delayed renewal risk processes
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function
• The expected discounted penalty at ruin in the risk process with random income
• The Gerber-Shiu discounted penalty function in the stationary renewal risk model.

Cited In (26)

• On a risk model with stochastic premiums income and dependence between income and loss
• On the probability of ruin in a continuous risk model with two types of delayed claims
• On a discrete interaction risk model with delayed claims and stochastic incomes under random discount rates
• On an insurance ruin model with a causal dependence structure and perturbation
• A ruin model with random income and dependence between claim sizes and claim intervals
• On a class of renewal risk model with random income
• The expected discounted penalty function under a renewal risk model with stochastic income
• 带延迟索赔和随机收入的离散风险模型的Gerber-Shiu分析（英）
• Risk models based on copulas for premiums and claim sizes
• On a class of stochastic models with two-sided jumps
• The Gerber-Shiu discounted penalty function in a delayed renewal risk model with multi-layer dividend strategy
• A note on a class of delayed renewal risk processes
• On the Gerber–Shiu function with random discount rate
• The expected discounted penalty function under a risk model with stochastic income
• A class of delayed renewal risk processes with a threshold dividend strategy
• A generalized penalty function for a class of discrete renewal processes
• The discounted penalty function in a class of delayed renewal risk models
• A ruin model with compound Poisson income and dependence between claim sizes and claim intervals
• The expected discounted penalty function in a renewal risk model with stochastic income
• The Gerber-Shiu discounted penalty function in the stationary renewal risk model.
• On a double barrier hybrid dividend strategy in a compound Poisson risk model with stochastic income
• Title not available (Why is that?)
• On the Gerber-Shiu discounted penalty function in a risk model with two types of delayed-claims and random income
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• A note on a class of discrete time delayed renewal risk processes
• Analysis of a MAP risk model with stochastic incomes, inter-dependent phase-type claims and a constant barrier

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