The Discounted Moments of the Surplus After the Last Innovation Before Ruin Under the Dual Risk Model

DOI10.1080/15326349.2014.868736zbMath1293.91101OpenAlexW2328076047MaRDI QIDQ5413856

Kristina P. Sendova, Chen Yang

Publication date: 2 May 2014

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

Full work available at URL: https://doi.org/10.1080/15326349.2014.868736

zbMATH Keywords

Laplace transformexpected discounted penalty functioncompound Poisson dual risk modeldiscounted moments of surpluslast jump before ruin

Mathematics Subject Classification ID

Cites Work

• On the dual risk model with tax payments
• Optimal dividends in the dual model
• On a dual model with a dividend threshold
• A Direct Approach to a First-Passage Problem with Applications in Risk Theory
• Dividend Moments in the Dual Risk Model: Exact and Approximate Approaches
• Optimal Dividends in the Dual Model with Diffusion
• Factorization of a convolution-type integro-differential equation on the positive half line
• The Density of the Time to Ruin in the Classical Poisson Risk Model
• On the Time Value of Ruin

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