Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims

DOI10.1016/j.insmatheco.2009.10.003zbMath1231.91153OpenAlexW2041589698MaRDI QIDQ659173

Apostolos D. Papaioannou, Stathis Chadjiconstantinidis

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.10.003

zbMATH Keywords

moment-generating functioncompound Poisson processdiscounted penalty functiondividend barrierdefective renewal equationsdividends-penalty identitygeneralized Erlang risk processpresent value of the dividend paymentsrationally distributed claim severities

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (2)

The Gerber-Shiu penalty functions for two classes of renewal risk processes ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives

Cites Work

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