A Direct Approach to the Discounted Penalty Function

DOI10.1080/10920277.2010.10597599zbMath1219.91063OpenAlexW2047453295MaRDI QIDQ3088982

Hans U. Gerber, Hailiang Yang, Hansjoerg Albrecher

Publication date: 23 August 2011

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://serval.unil.ch/resource/serval:BIB_34C00F94A9C8.P001/REF.pdf

Mathematics Subject Classification ID

Related Items (22)

On ruin probabilities with risky investments in a stock with stochastic volatility ⋮ On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model ⋮ Blockchain mining in pools: analyzing the trade-off between profitability and ruin ⋮ The Erlang(n) risk model with two-sided jumps and a constant dividend barrier ⋮ Ruin probabilities with investments: smoothness, inegro-differential and ordinary differential equations, asymptotic behavior ⋮ A note on deficit analysis in dependency models involving Coxian claim amounts ⋮ Ruin under stochastic dependence between premium and claim arrivals ⋮ On ruin probabilities with investments in a risky asset with a regime-switching price ⋮ Expected discounted penalty function and asymptotic dependence of the severity of ruin and surplus prior to ruin for two-sided Lévy risk processes ⋮ Gerber-Shiu function for a class of Markov-modulated Lévy risk processes with two-sided jumps ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Lévy risk model with two-sided jumps and a barrier dividend strategy ⋮ The Gerber-Shiu function and the generalized Cramér-Lundberg model ⋮ On the Gerber–Shiu function with random discount rate ⋮ The first passage time problem for mixed-exponential jump processes with applications in insurance and finance ⋮ On a class of stochastic models with two-sided jumps ⋮ Obtaining the dividends-penalty identities by interpretation ⋮ Phase-type approximations perturbed by a heavy-tailed component for the Gerber-Shiu function of risk processes with two-sided jumps ⋮ Valuing equity-linked death benefits in jump diffusion models ⋮ On the threshold dividend strategy for a generalized jump-diffusion risk model ⋮ Discussion on “On Cramér’s First Contributions to Ruin Theory,” by Ennio Badolati and Sandra Ciccone, Volume 21(2) ⋮ Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps

Cites Work

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