Phase-type approximations perturbed by a heavy-tailed component for the Gerber-Shiu function of risk processes with two-sided jumps

DOI10.1080/15326349.2020.1717344zbMath1451.60087arXiv2006.07463OpenAlexW3006239831MaRDI QIDQ3295903

Zbigniew Palmowski, Eleni Vatamidou

Publication date: 3 July 2020

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.07463

zbMATH Keywords

perturbationapproximationphase-type distributionfluctuation theoryGerber-Shiu functionheavy-tailed claim sizes

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Applications of continuous-time Markov processes on discrete state spaces (60J28) Actuarial mathematics (91G05)

Related Items (4)

On the discounted penalty function in a perturbed Erlang renewal risk model with dependence ⋮ Randomized observation periods for compound Poisson risk model with capital injection and barrier dividend ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Ruin-related problems in the dual risk model under two different randomized observations

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