Numerical computation of Gerber-Shiu function for insurance surplus process with additional investment

DOI10.1142/s2661335223500107zbMATH Open1537.91266MaRDI QIDQ6545057

Yuri Imamura, Sutipon Punaluek

Publication date: 29 May 2024

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

zbMATH Keywords

ruin probabilityinvestmentrisk modelGerber-Shiu functionBachelier modelinsurance surplus process

Mathematics Subject Classification ID

Integro-ordinary differential equations (45J05) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Actuarial mathematics (91G05)

Cites Work

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• Asymptotic results for renewal risk models with risky investments
• Risk theory for the compound Poisson process that is perturbed by diffusion
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• A generalized defective renewal equation for the surplus process perturbed by diffusion.
• Ruin estimates under interest force
• Ruin probabilities for a Sparre Andersen model with investments
• On the generalized Gerber-Shiu function for surplus processes with interest
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Stochastic differential equations for ruin probabilities
• Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
• Itô calculus for Cramér-Lundberg model
• On the Time Value of Ruin

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