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

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  • Morales, Manuel

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  • Morales, Manuel, 2007. "On the expected discounted penalty function for a perturbed risk process driven by a subordinator," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 293-301, March.
    • Handle: RePEc:eee:insuma:v:40:y:2007:i:2:p:293-301
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    References listed on IDEAS

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    1. Hans Gerber & Elias Shiu, 1998. "On the Time Value of Ruin," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(1), pages 48-72.
    2. Dufresne, François & Gerber, Hans U. & Shiu, Elias S. W., 1991. "Risk Theory with the Gamma Process," ASTIN Bulletin, Cambridge University Press, vol. 21(2), pages 177-192, November.
    3. Li, Shuanming & Lu, Yi, 2005. "On the expected discounted penalty functions for two classes of risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 36(2), pages 179-193, April.
    4. Gerber, Hans U. & Landry, Bruno, 1998. "On the discounted penalty at ruin in a jump-diffusion and the perpetual put option," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 263-276, July.
    5. Morales, Manuel, 2004. "Risk Theory with the Generalized Inverse Gaussian Lévy Process," ASTIN Bulletin, Cambridge University Press, vol. 34(2), pages 361-377, November.
    6. Dufresne, Francois & Gerber, Hans U., 1991. "Risk theory for the compound Poisson process that is perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 10(1), pages 51-59, March.
    7. Tsai, Cary Chi-Liang & Willmot, Gordon E., 2002. "A generalized defective renewal equation for the surplus process perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 30(1), pages 51-66, February.
    8. Gerber, Hans U. & Shiu, Elias S. W., 1997. "The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 129-137, November.
    9. Hans Gerber & Elias Shiu, 1998. "Pricing Perpetual Options for Jump Processes," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(3), pages 101-107.
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    Cited by:

    1. Claude Lefèvre & Philippe Picard, 2013. "Ruin Time and Severity for a Lévy Subordinator Claim Process: A Simple Approach," Risks, MDPI, vol. 1(3), pages 1-21, December.
    2. Honglong You & Yuan Gao, 2019. "Non-Parametric Threshold Estimation for the Wiener–Poisson Risk Model," Mathematics, MDPI, vol. 7(6), pages 1-11, June.
    3. Yue He & Reiichiro Kawai & Yasutaka Shimizu & Kazutoshi Yamazaki, 2022. "The Gerber-Shiu discounted penalty function: A review from practical perspectives," Papers 2203.10680, arXiv.org, revised Dec 2022.
    4. Runhuan Feng & Yasutaka Shimizu, 2013. "On a Generalization from Ruin to Default in a Lévy Insurance Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 15(4), pages 773-802, December.
    5. He, Yue & Kawai, Reiichiro & Shimizu, Yasutaka & Yamazaki, Kazutoshi, 2023. "The Gerber-Shiu discounted penalty function: A review from practical perspectives," Insurance: Mathematics and Economics, Elsevier, vol. 109(C), pages 1-28.
    6. Biffis, Enrico & Morales, Manuel, 2010. "On a generalization of the Gerber-Shiu function to path-dependent penalties," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 92-97, February.
    7. Biffis, Enrico & Kyprianou, Andreas E., 2010. "A note on scale functions and the time value of ruin for Lévy insurance risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 85-91, February.
    8. Diko, Peter & Usábel, Miguel, 2011. "A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 126-131, July.
    9. Safoora Zarei & Ali R. Fallahi, 2019. "Pay-As-You-Drive Insurance Pricing Model," Papers 1912.09273, arXiv.org.

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