Gerber-Shiu functionals for classical risk processes perturbed by an \(\alpha\)-stable motion

DOI10.1016/j.insmatheco.2015.10.009zbMath1348.91159OpenAlexW1854327904MaRDI QIDQ903325

Ehyter Matías Martín-González, Ekaterina Todorova Kolkovska

Publication date: 5 January 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.10.009

zbMATH Keywords

ruin probabilityclassical risk processstable processseverity of ruinsurplus before ruinscale functions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items

Gerber-Shiu function for a class of Markov-modulated Lévy risk processes with two-sided jumps ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Asymptotic Results for the Severity and Surplus Before Ruin for a Class of Lévy Insurance Processes

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• Subexponentiality and infinite divisibility
• Risk processes perturbed by α-stable Lévy motion
• On the Time Value of Ruin

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