The Gerber-Shiu expected discounted penalty function for Lévy insurance risk processes

DOI10.1007/S10255-010-0025-YzbMath1206.91048OpenAlexW2012705190MaRDI QIDQ601942

Chuan-Cun Yin, Xianghua Zhao

Publication date: 29 October 2010

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-010-0025-y

zbMATH Keywords

Lévy processrenewal equationcompound Poisson modeltime of ruinGerber--Shiu expected discounted penalty function

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Related Items (6)

Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion ⋮ On spectrally positive Lévy risk processes with Parisian implementation delays in dividend payments ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ On the dual risk model with Parisian implementation delays under a mixed dividend strategy ⋮ Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model ⋮ Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income

Cites Work

• Functions of probability measures
• Ruin probabilities and overshoots for general Lévy insurance risk processes
• Ruin probabilities and decompositions for general perturbed risk processes.
• Overshoots and undershoots of Lévy processes
• Spectrally negative Lévy processes with applications in risk theory
• Subexponentiality and infinite divisibility
• Regular variation of the tail of a subordinated probability distribution
• On the Time Value of Ruin
• Unnamed Item

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