A generalized penalty function in the Sparre Andersen risk model with two-sided jumps

DOI10.1016/j.spl.2009.12.016zbMath1202.91130OpenAlexW2034242307MaRDI QIDQ962017

Hu Yang, Zhimin Zhang

Publication date: 1 April 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.12.016

Mathematics Subject Classification ID

Related Items (7)

The expected discounted penalty function in the generalized Erlang\((n)\) risk model with two-sided jumps and a constant dividend barrier ⋮ 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 ⋮ Archimedean copulas in finite and infinite dimensions -- with application to ruin problems ⋮ On a class of stochastic models with two-sided jumps ⋮ A Direct Approach to the Discounted Penalty Function ⋮ Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps

Cites Work

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• Phase-type representations in random walk and queueing problems
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
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• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Analysis of a defective renewal equation arising in ruin theory
• The perturbed compound Poisson risk model with two-sided jumps
• First passage times of a jump diffusion process
• First-exit times for compound poisson processes for some types of positive and negative jumps
• Applied Probability and Queues
• On the expectation of total discounted operating costs up to default and its applications
• The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model
• The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
• The time to ruin for a class of Markov additive risk process with two-sided jumps
• The Time Value of Ruin in a Sparre Andersen Model
• On the Time Value of Ruin
• Moment generating functions of compound renewal sums with discounted claims

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