The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
type: Item
instance of: scholarly article
title: The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
zbMATH Open document ID: 1103.91369
author: X. Sheldon Lin
author: Gordon E. Willmot
author: Steve Derkic
published in: Insurance Mathematics \& Economics
publication date: 2004-02-14T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 34K60
Mathematics Subject Classification ID: 60G55
zbMATH DE Number: 2041758
zbMATH Keywords: ruin
zbMATH Keywords: integro-differential equation
zbMATH Keywords: Lundberg equation
zbMATH Keywords: renewal equation
zbMATH Keywords: compound geometric
zbMATH Keywords: time of ruin
zbMATH Keywords: surplus before ruin
zbMATH Keywords: deficit at ruin
zbMATH Keywords: exponential distribution
zbMATH Keywords: mixture of exponentials
zbMATH Keywords: stationary renewal risk process
zbMATH Keywords: Sparre Andersen process
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2003.08.004
OpenAlex ID: W2031397432
cites work: Risk theory with a nonlinear dividend barrier
cites work: Q5609896
cites work: On the expected discounted penalty function at ruin of a surplus process with interest.
cites work: On the distribution of the surplus prior to ruin
cites work: On a Class of Renewal Risk Processes
cites work: On the distribution of the duration of negative surplus
cites work: Ruin probabilities for Erlang (2) risk processes
cites work: On the time to ruin for Erlang(2) risk processes.
cites work: The probability and severity of ruin for combinations of exponential claim amount distributions and their translations
cites work: Q5588331
cites work: Games of Economic Survival with Discrete- and Continuous-Income Processes
cites work: Q4404211
cites work: Q3868650
cites work: On the probability of ruin in the presence of a linear dividend barrier
cites work: The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
cites work: On the Time Value of Ruin
cites work: Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs
cites work: Analysis of a defective renewal equation arising in ruin theory
cites work: The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
cites work: Optimal choice of dividend barriers for a risk process with stochastic return on investments
cites work: Q5513850
cites work: Q4004226
cites work: On the Distribution of the Surplus Prior and at Ruin
cites work: Q5637710
cites work: Ruin estimates under interest force
cites work: The Gerber-Shiu discounted penalty function in the stationary renewal risk model.
cites work: Lundberg approximations for compound distributions with insurance applications
DOI: 10.1016/J.INSMATHECO.2003.08.004
description: scientific article; zbMATH DE number 2041758