A Note on Gerber–Shiu Functions with an Application

DOI10.1007/978-3-319-06653-0_4zbMath1411.91315OpenAlexW97057450MaRDI QIDQ3193125

Hanspeter Schmidli

Publication date: 15 October 2015

Published in: EAA Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-06653-0_4

zbMATH Keywords

Laplace transformcapital injectionscompound Poisson risk modelGerber-Shiu functions

Mathematics Subject Classification ID

Related Items (2)

On the discounted penalty function in a perturbed Erlang renewal risk model with dependence ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives

Cites Work

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• On the Gerber-Shiu function and change of measure
• Optimal control of capital injections by reinsurance in a diffusion approximation
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• The surpluses immediately before and at ruin, and the amount of the claim causing ruin
• Large deviations results for subexponential tails, with applications to insurance risk
• On the moments and limit distributions of some first passage times
• Minimising expected discounted capital injections by reinsurance in a classical risk model
• On the Distribution of the Surplus Prior and at Ruin
• On the Time Value of Ruin

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