On the expected discounted penalty function at ruin of a surplus process with interest

Citations

Cited by:

1. Zan Yu & Lianzeng Zhang, 2024. "Computing the Gerber-Shiu function with interest and a constant dividend barrier by physics-informed neural networks," Papers 2401.04378, arXiv.org.
2. Li, Shuanming & Lu, Yi, 2013. "On the generalized Gerber–Shiu function for surplus processes with interest," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 127-134.
3. Sun, Li-Juan, 2005. "The expected discounted penalty at ruin in the Erlang (2) risk process," Statistics & Probability Letters, Elsevier, vol. 72(3), pages 205-217, May.
4. He, Lei & Yang, Xiangqun, 2010. "The compound binomial model with randomly paying dividends to shareholders and policyholders," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 443-449, June.
5. 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.
6. Liu, Xiangdong & Xiong, Jie & Zhang, Shuaiqi, 2015. "The Gerber–Shiu discounted penalty function in the classical risk model with impulsive dividend policy," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 183-190.
7. Eric C. K. Cheung & David Landriault, 2012. "On a Risk Model with Surplus-dependent Premium and Tax Rates," Methodology and Computing in Applied Probability, Springer, vol. 14(2), pages 233-251, June.
8. Liu, Guoxin & Wang, Ying, 2008. "On the expected discounted penalty function for the continuous-time compound binomial risk model," Statistics & Probability Letters, Elsevier, vol. 78(15), pages 2446-2455, October.
9. Gao, Qi-bing & Wu, Yao-hua & Zhu, Chun-hua & Wei, Guang-hua, 2007. "Ruin problems in risk models with dependent rates of interest," Statistics & Probability Letters, Elsevier, vol. 77(8), pages 761-768, April.
10. Wu, Rong & Wang, Guojing & Zhang, Chunsheng, 2005. "On a joint distribution for the risk process with constant interest force," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 365-374, June.
11. Yang, Wenquan & Hu, Yijun, 2009. "Upper bounds for ultimate ruin probabilities in the Sparre Andersen risk model with interest and a nonlinear dividend barrier," Statistics & Probability Letters, Elsevier, vol. 79(1), pages 63-69, January.
12. Wang, Rongming & Yang, Hailiang & Wang, Hanxing, 2004. "On the distribution of surplus immediately after ruin under interest force and subexponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 703-714, December.
13. Jing Wang & Zbigniew Palmowski & Corina Constantinescu, 2021. "How Much We Gain by Surplus-Dependent Premiums—Asymptotic Analysis of Ruin Probability," Risks, MDPI, vol. 9(9), pages 1-17, August.
14. Jun Cai & Runhuan Feng & Gordon E. Willmot, 2009. "The Compound Poisson Surplus Model with Interest and Liquid Reserves: Analysis of the Gerber–Shiu Discounted Penalty Function," Methodology and Computing in Applied Probability, Springer, vol. 11(3), pages 401-423, September.
15. Wei Wang, 2015. "The Perturbed Sparre Andersen Model with Interest and a Threshold Dividend Strategy," Methodology and Computing in Applied Probability, Springer, vol. 17(2), pages 251-283, June.
16. Huynh, Mirabelle & Landriault, David & Shi, Tianxiang & Willmot, Gordon E., 2015. "On a risk model with claim investigation," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 37-45.
17. Sheldon Lin, X. & E. Willmot, Gordon & Drekic, Steve, 2003. "The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function," Insurance: Mathematics and Economics, Elsevier, vol. 33(3), pages 551-566, December.
18. Cai, Jun, 2004. "Ruin probabilities and penalty functions with stochastic rates of interest," Stochastic Processes and their Applications, Elsevier, vol. 112(1), pages 53-78, July.
19. Chunwei Wang & Chuancun Yin, 2009. "Dividend payments in the classical risk model under absolute ruin with debit interest," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(3), pages 247-262, May.
20. Yuen, Kam C. & Wang, Guojing & Wu, Rong, 2006. "On the renewal risk process with stochastic interest," Stochastic Processes and their Applications, Elsevier, vol. 116(10), pages 1496-1510, October.
21. Mitric, Ilie-Radu & Badescu, Andrei L. & Stanford, David A., 2012. "On the absolute ruin problem in a Sparre Andersen risk model with constant interest," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 167-178.
22. Chuancun Yin & Chunwei Wang, 2010. "The Perturbed Compound Poisson Risk Process with Investment and Debit Interest," Methodology and Computing in Applied Probability, Springer, vol. 12(3), pages 391-413, September.
23. Woo, Jae-Kyung & Cheung, Eric C.K., 2013. "A note on discounted compound renewal sums under dependency," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 170-179.
24. Yuen, Kam C. & Wang, Guojing & Li, Wai K., 2007. "The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 104-112, January.
25. Daniel Tawiah Pabifio, 2024. "Sensitivity Analysis of Ruin of an Insurance Company in Ghana," Papers 2410.11846, arXiv.org.
26. Cheung, Eric C.K., 2011. "A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 384-397, May.
27. Tan, Jiyang & Yang, Xiangqun, 2006. "The compound binomial model with randomized decisions on paying dividends," Insurance: Mathematics and Economics, Elsevier, vol. 39(1), pages 1-18, August.