On the discounted penalty function in the renewal risk model with general interclaim times

DOI10.1016/J.INSMATHECO.2006.08.005zbMATH Open1119.91058OpenAlexW2025758124MaRDI QIDQ997079FDOQ997079

Authors Gordon E. Willmot 

Publication date 19 July 2007

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2006.08.005

zbMATH Keywords

Laplace transformexponential distributionGerber-Shiu functiondeficit at ruintime of ruinmixed Erlang distributiondefective renewal equationresidual lifetime distributioncompound geometrichigher-order equilibrium distributionSparre Andersen processsurplus at ruin

Mathematics Subject Classification ID

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Cites work

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• The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin

Cited in

(70)

• On a class of renewal risk model with random income
• An algebraic operator approach to the analysis of Gerber-Shiu functions
• A connection between the discounted and non-discounted expected penalty functions in the Sparre Andersen risk model
• A note on deficit analysis in dependency models involving Coxian claim amounts
• The expected discounted penalty function under a risk model with stochastic income
• On the evaluation of expected penalties at claim instants that cause ruin in the classical risk model
• A generalized penalty function in the Sparre Andersen risk model with two-sided jumps
• On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution
• Analysis of a generalized penalty function in a semi-Markovian risk model
• Ruin probabilities in models with a Markov chain dependence structure
• Finite time ruin problems for the Erlang\((2)\) risk model
• The expected discounted penalty function under a renewal risk model with stochastic income
• A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium
• A note on some joint distribution functions involving the time of ruin
• On some properties of a class of multivariate Erlang mixtures with insurance applications
• On a Generalization of the Risk Model with Markovian Claim Arrivals
• On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes
• On the complete monotonicity of the compound geometric convolution with applications in risk theory
• Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times
• Randomized observation periods for the compound Poisson risk model: the discounted penalty function
• Analysis of a defective renewal equation arising in ruin theory
• Dependent Risk Models with Bivariate Phase-Type Distributions
• Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion
• The Gerber-Shiu function and the generalized Cramér-Lundberg model
• An operator property of the distribution of a nonhomogeneous Poisson process with applications
• On the discounted penalty function in a discrete time renewal risk model with general interclaim times
• On the Gerber-Shiu function and change of measure
• Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence
• Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
• Erlang risk models and finite time ruin problems
• A renewal jump-diffusion process with threshold dividend strategy
• A generalized penalty function for a class of discrete renewal processes
• On a generalization of the expected discounted penalty function in a discrete-time insurance risk model
• On the analysis of a general class of dependent risk processes
• On the discounted \(K\)th moment of the deficit at ruin in the delayed renewal risk model
• Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims
• Some remarks on delayed renewal risk models
• An insurance risk model with Parisian implementation delays
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• On the renewal risk model under a threshold strategy
• Exit times, overshoot and undershoot for a surplus process in the presence of an upper barrier
• On the class of Erlang mixtures with risk theoretic applications
• On a class of stochastic models with two-sided jumps
• On a Sparre Andersen risk model perturbed by a spectrally negative Lévy process
• On a general class of renewal risk process: analysis of the Gerber-Shiu function
• Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps
• Discounted aggregate claim costs until ruin in the discrete-time renewal risk model
• Moments of renewal shot-noise processes and their applications
• Asymptotic estimates of Gerber-Shiu functions in the renewal risk model with exponential claims
• On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps
• Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
• Ruin measures for a compound Poisson risk model with dependence based on the Spearman copula and the exponential claim sizes
• A unifying approach to the analysis of business with random gains
• On the discounted penalty function in the discrete time stationary renewal risk model
• On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model
• The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function
• Gerber-Shiu analysis with a generalized penalty function.
• On the analysis of ruin-related quantities in the delayed renewal risk model
• The time of recovery and the maximum severity of ruin in a Sparre Andersen model
• Two-sided bounds for renewal equations and ruin quantities
• On the discounted penalty function for claims having mixed exponential distribution
• Relations between integrated tails and moments based on the deficit at ruin in the renewal risk model
• The expected discounted penalty function on a class of the claim inter-arrival times with mixing distributions
• The construction of a quadratic predictor of the discounted renewal claims with dependence
• The solution for expected discounted penalty in discrete-time model
• Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times
• A class of expected discounted penalty function for claim size of mixed exponential distribution

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