The Gerber-Shiu function in a risk model perturbed by diffusion

MaRDI QIDQ3169951zbMATH OpenFDO

Authors Chuanguang Sun, Chunwei Wang

Publication date 29 September 2011

zbMATH Keywords

generalized Lundberg's fundamental equationGerber-Shiu functionintegro-differential equationsLaplace transform

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(15)

• Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation
• On the discounted penalty function in a perturbed Erlang renewal risk model with dependence
• A note on a generalized discounted penalty function in a Sparre Andersen risk model perturbed by diffusion
• Expected discounted penalty function at ruin for risk process perturbed by diffusion under interest force
• On the Gerber–Shiu function with random discount rate
• On a generalized Gerber-Shiu function in a compound Poisson model perturbed by diffusion
• scientific article; zbMATH DE number 5012294 (Why is no real title available?)
• On the expected discounted penalty function for a Lévy risk process perturbed by diffusions
• The Gerber-Shiu function for a risk model perturbed by stable Lévy motion
• Estimating the Gerber-Shiu function under a risk model with stochastic income by Laguerre series expansion
• The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
• Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion
• The Markovian shot-noise risk model: a numerical method for Gerber-Shiu functions
• An insurance risk model with stochastic volatility
• Gerber-Shiu functionals for classical risk processes perturbed by an \(\alpha\)-stable motion

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