On the Gerber-Shiu discounted penalty function for a surplus process described by PDMPs
From MaRDI portal
Publication:1958723
DOI10.1007/s10114-010-6573-5zbMath1195.91067OpenAlexW2016971397MaRDI QIDQ1958723
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
Volterra integral equationpiecewise deterministic Markov processultimate ruin probabilityGerber-Shiu discounted penalty function
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- 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
This page was built for publication: On the Gerber-Shiu discounted penalty function for a surplus process described by PDMPs
