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

renewal equationsLévy processes

Mathematics Subject Classification ID

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

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Cites work

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• scientific article; zbMATH DE number 918811 (Why is no real title available?)
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• Cramér's estimate for Lévy processes
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• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• On the expected discounted penalty function for Lévy risk processes
• On the expected discounted penalty functions for two classes of risk processes
• Overshoots and undershoots of Lévy processes
• Pricing Perpetual Options for Jump Processes
• Risk Theory with the Generalized Inverse Gaussian Lévy Process
• Risk theory for the compound Poisson process that is perturbed by diffusion
• Ruin probabilities and decompositions for general perturbed risk processes.
• Spectrally negative Lévy processes with applications in risk theory
• The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• Weak convergence approach to compound Poisson risk processes perturbed by diffusion

Cited in

(23)

• Estimation of the expected discounted penalty function for Lévy insurance risks
• Generalized expected discounted penalty function at general drawdown for Lévy risk processes
• Computing the finite-time expected discounted penalty function for a family of Lévy risk processes
• On a generalization of the Gerber-Shiu function to path-dependent penalties
• 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
• On spectrally positive Lévy risk processes with Parisian implementation delays in dividend payments
• On a generalization from ruin to default in a Lévy insurance risk model
• A note on scale functions and the time value of ruin for Lévy insurance risk processes
• Fourier-cosine method for finite-time Gerber-Shiu functions
• Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model
• Lévy insurance risk process with Poissonian taxation
• Strategies for dividend distribution: a review
• Nonparametric estimation for a spectrally negative Lévy risk process based on low-frequency observation
• Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory
• On a generalization of the expected discounted penalty function to include deficits at and beyond ruin
• Review of statistical actuarial risk modelling
• A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Estimating the Gerber–Shiu function by Fourier–Sinc series expansion
• ON A RISK PROCESS DRIVEN BY A SUBORDINATOR WITH LIQUID RESERVES, CREDIT AND DEBIT INTEREST
• On the expected discounted penalty function for risk process with tax
• The expected discounted penalty function: from infinite time to finite time

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