A generalized penalty function in the Sparre Andersen risk model with two-sided jumps

DOI10.1016/J.SPL.2009.12.016zbMATH Open1202.91130OpenAlexW2034242307MaRDI QIDQ962017FDOQ962017

Hu Yang, Zhimin Zhang

Publication date: 1 April 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.12.016

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15) Stochastic models in economics (91B70)

Cites Work

• Applied Probability and Queues
• On the time to ruin for Erlang(2) risk processes.
• The Time Value of Ruin in a Sparre Andersen Model
• The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
• On the Time Value of Ruin
• On ruin for the Erlang \((n)\) risk process
• On the discounted penalty function in the renewal risk model with general interclaim times
• The expected discounted penalty function under a risk model with stochastic income
• On the expectation of total discounted operating costs up to default and its applications
• Moment generating functions of compound renewal sums with discounted claims
• Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
• First passage times of a jump diffusion process
• The perturbed compound Poisson risk model with two-sided jumps
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Phase-type representations in random walk and queueing problems
• Analysis of a defective renewal equation arising in ruin theory
• First-exit times for compound poisson processes for some types of positive and negative jumps
• The time to ruin for a class of Markov additive risk process with two-sided jumps
• On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution
• The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model
• On the time to ruin and the deficit at ruin in a risk model with double-sided jumps

Cited In (8)

• On a class of stochastic models with two-sided jumps
• Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps
• The expected discounted penalty function in the generalized Erlang\((n)\) risk model with two-sided jumps and a constant dividend barrier
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Optimal dividends and capital injection: a general Lévy model with extensions to regime-switching models
• A Direct Approach to the Discounted Penalty Function
• Archimedean copulas in finite and infinite dimensions -- with application to ruin problems
• Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times

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