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

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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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Cited In (70)

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

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