On the expected discounted penalty function for a perturbed risk process driven by a subordinator

DOI10.1016/J.INSMATHECO.2006.04.008MaRDI QIDQ995506zbMATH OpenOpenAlexFDO

Authors Manuel Morales

Publication date 3 September 2007

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2006.04.008

zbMATH Keywords

Lévy processesrenewal equations

Mathematics Subject Classification ID

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

Review text

The author considers the following perturbed risk model: \(U(t)=u+ct-S(t)+W(t)\), where \(S\) is a subordinator with zero drift and Lévy measure \(\nu\) and \(W\) is a zero-drift Brownian motion with infinitesimal variance \(\sigma^2\). The parameter \(u\) is an initial surplus and \(c\) is a constant premium rate. The purpose of the paper is to show that the expected discounted penalty function for this risk model satisfies a defective renewal equation. The stepping stone to produce the main result is the construction of a family of compound Poisson processes converging weakly to any given subordinator. The results allow for a wide range of models for the aggregate claims process, in particular those closed-form expressions are available like the gamma and inverse Gaussian processes. These results are possible due to the Lévy structure of the risk process.

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Cited in

(24)

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• A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process
• Generalized expected discounted penalty function at general drawdown for Lévy risk processes
• Nonparametric estimation for a spectrally negative Lévy risk process based on low-frequency observation
• On a generalization from ruin to default in a Lévy insurance risk model
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model
• scientific article; zbMATH DE number 5671192 (Why is no real title available?)
• On the expected discounted penalty function for a Lévy risk process perturbed by diffusions
• Lévy insurance risk process with Poissonian taxation
• Computing the finite-time expected discounted penalty function for a family of Lévy risk processes
• Estimating the Gerber–Shiu function by Fourier–Sinc series expansion
• On a generalization of the expected discounted penalty function to include deficits at and beyond ruin
• Review of statistical actuarial risk modelling
• Fourier-cosine method for finite-time Gerber-Shiu functions
• Strategies for dividend distribution: a review
• ON A RISK PROCESS DRIVEN BY A SUBORDINATOR WITH LIQUID RESERVES, CREDIT AND DEBIT INTEREST
• The expected discounted penalty function: from infinite time to finite time
• On the expected discounted penalty function for risk process with tax
• A note on scale functions and the time value of ruin for Lévy insurance risk processes
• On a generalization of the Gerber-Shiu function to path-dependent penalties
• Threshold estimation of the Gerber-Shiu function using the Fourier-cosine method in the Wiener-Poisson risk model

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