The compound Poisson surplus model with interest and liquid reserves: Analysis of the Gerber-Shiu discounted penalty function

DOI10.1007/s11009-007-9050-6zbMath1170.91407OpenAlexW2065147480MaRDI QIDQ835683

Runhuan Feng, Gordon E. Willmot, Jun Cai

Publication date: 31 August 2009

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-007-9050-6

Mathematics Subject Classification ID

Related Items (12)

On the discounted penalty function in a perturbed Erlang renewal risk model with dependence ⋮ Optimal dividend policies for piecewise-deterministic compound Poisson risk models ⋮ Optimal investment strategies for an insurer with liquid constraint ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times ⋮ The perturbed compound Poisson risk process with investment and debit interest ⋮ A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium ⋮ On a risk model with surplus-dependent premium and tax rates ⋮ Optimal investment for an insurer under liquid reserves ⋮ Absolute ruin problems in a compound Poisson risk model with constant dividend barrier and liquid reserves ⋮ ON A RISK PROCESS DRIVEN BY A SUBORDINATOR WITH LIQUID RESERVES, CREDIT AND DEBIT INTEREST ⋮ Extended Gerber-Shiu functions in a risk model with interest

Cites Work

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• On the distribution of surplus immediately after ruin under interest force

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