Mathematical investigation of the Gerber-Shiu function in the case of dependent inter-claim time and claim size
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Publication:2276246
DOI10.1016/j.insmatheco.2011.01.005zbMath1218.91090OpenAlexW1993526512MaRDI QIDQ2276246
Csaba Mihálykó, Éva Orbán-Mihálykó
Publication date: 1 August 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.01.005
integral equationexponential convergencedependenceSparre Andersen risk processlimit propertyunbounded Gerber-Shiu function
Related Items (3)
The maximum surplus before ruin for dependent risk models through Farlie–Gumbel–Morgenstern copula ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Unnamed Item
Cites Work
- 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
- An algebraic operator approach to the analysis of Gerber-Shiu functions
- Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
- On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution
- Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times
- The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
- On a risk model with dependence between interclaim arrivals and claim sizes
- Exponential Behavior in the Presence of Dependence in Risk Theory
- The Time Value of Ruin in a Sparre Andersen Model
- On the Time Value of Ruin
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