Gerber-shiu discounted penalty function

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Risk Measures for Classical and Perturbed Risk Processes - a Survey [PDF]

, 2011
2000 Mathematics Subject Classification: 60B10, 60G17, 60G51, 62P05.In this review paper we consider several risk measures in actuarial mathematics, such as the ruin probability, the ruin time, the severity of ruin, the surplus immediately before ruin ...
T. Kolkovska, Ekaterina
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A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier [PDF]

, 2017
For a general class of risk models, the dividends-penalty identity is derived by probabilistic reasoning. This identity is the key for understanding and determining the optimal dividend barrier, which maximizes the difference between the expected present
Gerber, Hans U., Lin, X. Sheldon, Yang, Hailiang +2 more
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Randomized Observation Periods for the Compound Poisson Risk Model: Dividends [PDF]

, 2017
In the framework of the classical compound Poisson process in collective risk theory, we study a modification of the horizontal dividend barrier strategy by introducing random observation times at which dividends can be paid and ruin can be observed ...
Albrecher, Hansjörg, Cheung, Eric C.K., Thonhauser, Stefan +2 more
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A numerical method for the expected penalty–reward function in a Markov-modulated jump–diffusion process. [PDF]

A generalization of the Cramér–Lundberg risk model perturbed by a diffusion is proposed. Aggregate claims of an insurer follow a compound Poisson process and premiums are collected at a constant rate with additional random fluctuation.
Diko, Peter, Usábel, Miguel A.
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The distribution of some extremum on the risk process whose income depend on the current reserve. [PDF]