On the Gerber-Shiu Discounted Penalty Function for the Ordinary Renewal Risk Model with Constant Interest

DOI10.1080/10920277.2007.10597453zbMath1480.91256OpenAlexW2094220804MaRDI QIDQ5019733

Rong Wu, Ying Fang, Yuhua Lü

Publication date: 10 January 2022

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

Full work available at URL: https://doi.org/10.1080/10920277.2007.10597453

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Actuarial mathematics (91G05)

Related Items (6)

The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ A note on discounted compound renewal sums under dependency ⋮ Asymptotics in a time-dependent renewal risk model with stochastic return ⋮ Risk- and value-based management for non-life insurers under solvency constraints ⋮ A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium ⋮ Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion

Cites Work

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• The adjustment function in ruin estimates under interest force
• On the expected discounted penalty function at ruin of a surplus process with interest.
• Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
• Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.
• Recursive calculation of finite time ruin probabilities under interest force.
• Lundberg approximations for compound distributions with insurance applications
• Ruin probabilities and penalty functions with stochastic rates of interest
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• On the Time Value of Ruin
• On the distribution of surplus immediately after ruin under interest force

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