On the expected discounted penalty function for a perturbed risk process driven by a subordinator

DOI10.1016/j.insmatheco.2006.04.008zbMath1130.91032OpenAlexW2066640641MaRDI QIDQ995506

Manuel Morales

Publication date: 3 September 2007

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.04.008

zbMATH Keywords

Lévy processesrenewal equations

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

Related Items (16)

On spectrally positive Lévy risk processes with Parisian implementation delays in dividend payments ⋮ Nonparametric estimation for a spectrally negative Lévy risk process based on low-frequency observation ⋮ Lévy insurance risk process with Poissonian taxation ⋮ Estimating the Gerber–Shiu function by Fourier–Sinc series expansion ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ A note on scale functions and the time value of ruin for Lévy insurance risk processes ⋮ On a generalization of the Gerber-Shiu function to path-dependent penalties ⋮ Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory ⋮ Estimation of the expected discounted penalty function for Lévy insurance risks ⋮ A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process ⋮ On a generalization from ruin to default in a Lévy insurance risk model ⋮ ON A RISK PROCESS DRIVEN BY A SUBORDINATOR WITH LIQUID RESERVES, CREDIT AND DEBIT INTEREST ⋮ Review of statistical actuarial risk modelling ⋮ Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions ⋮ Non-parametric estimation of the Gerber–Shiu function for the Wiener–Poisson risk model ⋮ Strategies for Dividend Distribution: A Review

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