The expected discounted penalty function for the perturbed compound Poisson risk process with constant interest

DOI10.1016/J.INSMATHECO.2006.12.003zbMath1141.91551OpenAlexW2078189719MaRDI QIDQ939327

Rong Wu, Guo-jing Wang

Publication date: 22 August 2008

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.12.003

zbMATH Keywords

Brownian motiontime of ruinconstant force of interestGerber-Shiu expected discounted penalty function

Mathematics Subject Classification ID

Related Items (10)

The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy ⋮ The perturbed compound Poisson risk model with two-sided jumps ⋮ A perturbed risk model with constant interest and periodic barrier dividend strategy ⋮ On the ruin probabilities for a general perturbed renewal risk process ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Ruin probability in compound Poisson process with investment ⋮ An extension of Paulsen-Gjessing's risk model with stochastic return on investments ⋮ Pricing the Zero-Coupon Bond and its Fair Premium Under a Structural Credit Risk Model with Jumps ⋮ A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process ⋮ The perturbed Sparre Andersen model with interest and a threshold dividend strategy

Cites Work

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