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

DOI10.1016/J.INSMATHECO.2006.04.008zbMATH Open1130.91032OpenAlexW2066640641MaRDI QIDQ995506FDOQ995506

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

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zbMATH Keywords

renewal equationsLévy processes

Mathematics Subject Classification ID

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

Cites Work

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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
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• On the Time Value of Ruin
• Risk theory for the compound Poisson process that is perturbed by diffusion
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• A generalized defective renewal equation for the surplus process perturbed by diffusion.
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• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• Pricing Perpetual Options for Jump Processes
• A risk model driven by Lévy processes
• On the expected discounted penalty function for Lévy risk processes
• 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
• Computing the finite-time expected discounted penalty function for a family of Lévy risk processes
• Generalized expected discounted penalty function at general drawdown for Lévy risk processes
• On a generalization of the Gerber-Shiu function to path-dependent penalties
• Title not available (Why is that?)
• 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
• Fourier-cosine method for finite-time Gerber-Shiu functions
• A note on scale functions and the time value of ruin for Lévy insurance risk processes
• 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
• Review of statistical actuarial risk modelling
• On a generalization of the expected discounted penalty function to include deficits at and beyond ruin
• 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
• The expected discounted penalty function: from infinite time to finite time
• On the expected discounted penalty function for risk process with tax

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