The Gerber-Shiu discounted penalty function in the delayed renewal risk process with random income

DOI10.1016/j.amc.2006.06.076zbMath1209.60051OpenAlexW1987924250MaRDI QIDQ879562

Zhong-Xing Ye, Zhen-Hua Bao

Publication date: 14 May 2007

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2006.06.076

zbMATH Keywords

ruin probabilityGerber-Shiu discounted penalty functiondelayed renewal risk processSparre-Anderson modelstationary renewal risk process

Mathematics Subject Classification ID

Related Items (15)

On a discrete interaction risk model with delayed claims and stochastic incomes under random discount rates ⋮ Risk models based on copulas for premiums and claim sizes ⋮ On a double barrier hybrid dividend strategy in a compound Poisson risk model with stochastic income ⋮ A ruin model with random income and dependence between claim sizes and claim intervals ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ The expected discounted penalty function under a renewal risk model with stochastic income ⋮ The Gerber-Shiu discounted penalty function in a delayed renewal risk model with multi-layer dividend strategy ⋮ On a class of stochastic models with two-sided jumps ⋮ On a class of renewal risk model with random income ⋮ On a risk model with stochastic premiums income and dependence between income and loss ⋮ A class of delayed renewal risk processes with a threshold dividend strategy ⋮ On the probability of ruin in a continuous risk model with two types of delayed claims ⋮ The expected discounted penalty function under a risk model with stochastic income ⋮ Analysis of a MAP Risk Model with Stochastic Incomes, Inter-Dependent Phase-Type Claims and a Constant Barrier ⋮ A ruin model with compound Poisson income and dependence between claim sizes and claim intervals

Cites Work

• The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function
• The expected discounted penalty at ruin in the risk process with random income
• A note on a class of delayed renewal risk processes
• Aspects of risk theory
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• The Gerber-Shiu discounted penalty function in the stationary renewal risk model.
• Risk process with random income
• On the Time Value of Ruin
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