On the Gerber-Shiu discounted penalty function for a surplus process described by PDMPs

DOI10.1007/s10114-010-6573-5zbMath1195.91067OpenAlexW2016971397MaRDI QIDQ1958723

Rong Wu, Jing-Min He

Publication date: 4 October 2010

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-010-6573-5

zbMATH Keywords

Volterra integral equationpiecewise deterministic Markov processultimate ruin probabilityGerber-Shiu discounted penalty function

Mathematics Subject Classification ID

Cites Work

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• The surpluses immediately before and at ruin, and the amount of the claim causing ruin
• On the distribution of the surplus prior to ruin
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• On the expected discounted penalty function at ruin of a surplus process with interest.
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Ruin theory for the risk process described by PDMPs
• Ruin estimates under interest force
• Analysis of a defective renewal equation arising in ruin theory
• Martingales and insurance risk
• The Joint Distribution of Surplus Immediately before Ruin and the Deficit at Ruin under Interest Force
• On the Time Value of Ruin
• On the distribution of surplus immediately after ruin under interest force

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