The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion

DOI10.1080/03461230510006955zbMath1092.91049OpenAlexW1963839917MaRDI QIDQ5467655

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Publication date: 24 May 2006

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230510006955

zbMATH Keywords

diffusion processintegro-differential equationgeneralized equationdefective renewal equationSparre Andersen risk process

Mathematics Subject Classification ID

Related Items (34)

Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion ⋮ Ruin Probabilities for the Perturbed Compound Poisson Risk Process with Investment ⋮ On a perturbed Sparre Andersen risk model with multi-layer dividend strategy ⋮ On a generalized Gerber-Shiu function in a compound Poisson model perturbed by diffusion ⋮ The perturbed compound Poisson risk model with two-sided jumps ⋮ Estimating the Gerber–Shiu function by Fourier–Sinc series expansion ⋮ On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation ⋮ Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion ⋮ Moments of the ruin time in a Lévy risk model ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ The maximum surplus before ruin and related problems in a jump-diffusion renewal risk process ⋮ Stochastic dynamics and passage times for diffusion approximations ⋮ Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion ⋮ The maximum severity of ruin in a perturbed risk process with Markovian arrivals ⋮ The maximum surplus distribution before ruin in an Erlang(\(n\)) risk process perturbed by diffusion ⋮ An algebraic operator approach to the analysis of Gerber-Shiu functions ⋮ On a perturbed by diffusion compound Poisson risk model with delayed claims and multi-layer dividend strategy ⋮ Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy ⋮ Phase-type approximations perturbed by a heavy-tailed component for the Gerber-Shiu function of risk processes with two-sided jumps ⋮ The use of vector-valued martingales in risk theory ⋮ A generalized penalty function in the Sparre Andersen risk model with two-sided jumps ⋮ The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times ⋮ A quintuple law for Markov additive processes with phase-type jumps ⋮ On the expected discounted penalty function for a perturbed risk process driven by a subordinator ⋮ A generalised Gerber–Shiu measure for Markov-additive risk processes with phase-type claims and capital injections ⋮ Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion ⋮ Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model ⋮ A renewal jump-diffusion process with threshold dividend strategy ⋮ Perturbed Risk Processes Analyzed as Fluid Flows ⋮ A note on a generalized discounted penalty function in a Sparre Andersen risk model perturbed by diffusion ⋮ Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions ⋮ Application of Advanced Integrodifferential Equations in Insurance Mathematics and Process Engineering ⋮ Erlangian approximation to finite time ruin probabilities in perturbed risk models ⋮ The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion

Cites Work

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