Computing the finite-time expected discounted penalty function for a family of Lévy risk processes
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Publication:4576834
DOI10.1080/03461238.2011.627747zbMath1401.91156OpenAlexW2062206840MaRDI QIDQ4576834
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Publication date: 11 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2011.627747
ruin theoryfinite-time Gerber-Shiu functionmeromorphic Levy processesnumerical computation of the Gerber-Shiu function
Processes with independent increments; Lévy processes (60G51) Applications of renewal theory (reliability, demand theory, etc.) (60K10)
Related Items (11)
Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times ⋮ On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk theory ⋮ On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps ⋮ Distributional study of finite-time ruin related problems for the classical risk model ⋮ A Fourier-cosine method for finite-time ruin probabilities ⋮ First and last passage times of spectrally positive Lévy processes with application to reliability ⋮ Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation ⋮ Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions ⋮ Extended Gerber-Shiu functions in a risk model with interest
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