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The Gerber–Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier

Insurance: Mathematics and Economics, 2007
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Guojing Wang, Kam Chuen Yuen
exaly   +4 more sources

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The Gerber–Shiu discounted penalty function in the delayed renewal risk process with random income

Applied Mathematics and Computation, 2007
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Zhenhua Bao, Zhong-xing Ye
exaly   +3 more sources

On the Gerber-Shiu discounted penalty function for subexponential claims

Lithuanian Mathematical Journal, 2006
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
J Siaulys
exaly   +3 more sources

The Gerber–Shiu discounted penalty function in the risk process with phase-type interclaim times

Applied Mathematics and Computation, 2010
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Jiandong Ren
exaly   +2 more sources

The gerber-shiu expected discounted penalty function for Lévy insurance risk processes

Acta Mathematicae Applicatae Sinica, 2010
A Lévy risk model \(\{X_t\}\) without a Brownian component and with \(\mathbb{E}[X_1] > 0\) is considered, where the upward jumps are bounded by some constant \(-a \geq 0\). The goal is to calculate the Gerber--Shiu expected discounted penalty function \[ \Phi(x) = \mathbb{E}\bigl[ e^{-\delta T} 1_{T < \infty} w(X_{T-},|X_T|) \bigm| X_0 = x\bigr]\;, \]
Zhao, Xiang-Hua, Yin, Chuan-Cun
exaly   +3 more sources

On the Gerber-Shiu discounted penalty function for a surplus process described by PDMPs

Acta Mathematica Sinica, English Series, 2010
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He, Jing Min, Wu, Rong
exaly   +3 more sources

On the Gerber–Shiu discounted penalty function in a risk model with delayed claims

Journal of the Korean Statistical Society, 2012
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Jie-Hua Xie
exaly   +2 more sources

The Gerber–Shiu discounted penalty function in the classical risk model with impulsive dividend policy

Statistics and Probability Letters, 2015
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Jie Xiong, Xiangdong Liu
exaly   +3 more sources

The discrete stationary renewal risk model and the Gerber–Shiu discounted penalty function

Insurance: Mathematics and Economics, 2004
The paper considers a generalization of the discrete renewal risk model, the discrete stationary or discrete equilibrium renewal risk model. The main result of the paper is that it relates the Gerber-Shiu discounted penalty functions in the ordinary and the equilibrium discrete renewal risk models. The discount free model is also considered.
Gordon Willmot
exaly   +3 more sources

On the analysis of the Gerber–Shiu discounted penalty function for risk processes with Markovian arrivals

Insurance: Mathematics and Economics, 2007
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Andrei L Badescu
exaly   +3 more sources