Gerber–Shiu function for the discrete inhomogeneous claim case

DOI10.1080/00207160.2012.693607zbMath1255.91176OpenAlexW2089130062MaRDI QIDQ4903511

E. Bieliauskienė, Jonas Šiaulys

Publication date: 22 January 2013

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2012.693607

zbMATH Keywords

ruin probabilityrecursive formulaGerber-Shiu functiondiscrete time risk modelinhomogeneous claims

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50)

Related Items (5)

Bi-seasonal discrete time risk model ⋮ Ruin probability in the three-seasonal discrete-time risk model ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Ruin probability for the bi-seasonal discrete time risk model with dependent claims ⋮ Unnamed Item

Cites Work

• Finite-time ruin probability in the inhomogeneous claim case
• Ruin probabilities in the compound binomial model
• The expected discounted penalty at ruin in the risk process with random income
• Ruin models with investment income
• Recursive calculation of finite-time ruin probabilities
• Risk process with random income
• On a class of renewal risk model with random income
• On the Time Value of Ruin

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