On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution

DOI10.1016/j.insmatheco.2007.06.004zbMath1152.91591OpenAlexW2032086247MaRDI QIDQ998274

Publication date: 28 January 2009

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.06.004

zbMATH Keywords

renewal risk model defective renewal equation expected discounted penalty function arbitrary interclaim times coxian distributions

Mathematics Subject Classification ID

Related Items (44)

Finite-time ruin probabilities using bivariate Laguerre series ⋮ SOME ADVANCES ON THE ERLANG(n) DUAL RISK MODEL ⋮ An operator property of the distribution of a nonhomogeneous Poisson process with applications ⋮ The moments of the time to ruin in dependent Sparre Andersen models with Coxian claim sizes ⋮ A note on deficit analysis in dependency models involving Coxian claim amounts ⋮ On dividends in the phase–type dual risk model ⋮ Ruin probability and time of ruin with a proportional reinsurance threshold strategy ⋮ 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 ⋮ Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims ⋮ Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times ⋮ On the Gerber–Shiu function with random discount rate ⋮ Joint Insolvency Analysis of a Shared MAP Risk Process: A Capital Allocation Application ⋮ The time to ruin and the number of claims until ruin for phase-type claims ⋮ The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier ⋮ Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence ⋮ An algebraic operator approach to the analysis of Gerber-Shiu functions ⋮ Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models ⋮ On a class of stochastic models with two-sided jumps ⋮ On a class of renewal risk model with random income ⋮ Exit times, overshoot and undershoot for a surplus process in the presence of an upper barrier ⋮ A generalized penalty function in the Sparre Andersen risk model with two-sided jumps ⋮ The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times ⋮ Computing the Gerber–Shiu function by frame duality projection ⋮ ON THE COMPOUND POISSON RISK MODEL WITH PERIODIC CAPITAL INJECTIONS ⋮ Mathematical investigation of the Gerber-Shiu function in the case of dependent inter-claim time and claim size ⋮ A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium ⋮ An insurance risk process with a generalized income process: a solvency analysis ⋮ Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times ⋮ Potential measures for spectrally negative Markov additive processes with applications in ruin theory ⋮ A connection between the discounted and non-discounted expected penalty functions in the Sparre Andersen risk model ⋮ Interval estimation of the ruin probability in the classical compound Poisson risk model ⋮ Dependent Risk Models with Bivariate Phase-Type Distributions ⋮ On the discounted penalty function in a discrete time renewal risk model with general interclaim times ⋮ A renewal jump-diffusion process with threshold dividend strategy ⋮ On a Generalization of the Risk Model with Markovian Claim Arrivals ⋮ Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions ⋮ On orderings and bounds in a generalized Sparre Andersen risk model ⋮ Application of Advanced Integrodifferential Equations in Insurance Mathematics and Process Engineering ⋮ A unifying approach to the analysis of business with random gains ⋮ Fourier-cosine method for Gerber-Shiu functions ⋮ On a Sparre Andersen risk model perturbed by a spectrally negative Lévy process ⋮ The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model ⋮ Analysis of a Generalized Penalty Function in a Semi-Markovian Risk Model

Cites Work

This page was built for publication: On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution