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On ruin for the Erlang(n) risk process
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- Lin, X. Sheldon & Sendova, Kristina P., 2008. "The compound Poisson risk model with multiple thresholds," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 617-627, April.
- Lin, X.Sheldon & Pavlova, Kristina P., 2006. "The compound Poisson risk model with a threshold dividend strategy," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 57-80, February.
- Li, Shuanming & Lu, Yi, 2009. "The distribution of total dividend payments in a Sparre Andersen model," Statistics & Probability Letters, Elsevier, vol. 79(9), pages 1246-1251, May.
- 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.
- 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.
- Chi, Yichun & Lin, X. Sheldon, 2011. "On the threshold dividend strategy for a generalized jump-diffusion risk model," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 326-337, May.
- Li, Shuanming & Garrido, Jose, 2004. "On a class of renewal risk models with a constant dividend barrier," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 691-701, December.
- Dickson, David C.M. & Li, Shuanming, 2013. "The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 490-497.
- Zhang, Zhimin & Yang, Hu, 2010. "A generalized penalty function in the Sparre-Andersen risk model with two-sided jumps," Statistics & Probability Letters, Elsevier, vol. 80(7-8), pages 597-607, April.
- Feng, Runhuan, 2009. "On the total operating costs up to default in a renewal risk model," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 305-314, October.
- Ahn, Soohan & Badescu, Andrei L., 2007. "On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals," Insurance: Mathematics and Economics, Elsevier, vol. 41(2), pages 234-249, September.
- 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.
- Franck Adékambi & Essodina Takouda, 2022. "On the Discounted Penalty Function in a Perturbed Erlang Renewal Risk Model With Dependence," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 481-513, June.
- Kang Hu & Ya Huang & Yingchun Deng, 2023. "Estimating the Gerber–Shiu Function in the Two-Sided Jumps Risk Model by Laguerre Series Expansion," Mathematics, MDPI, vol. 11(9), pages 1-30, April.
- Georgios Psarrakos, 2016. "An Operator Property of the Distribution of a Nonhomogeneous Poisson Process with Applications," Methodology and Computing in Applied Probability, Springer, vol. 18(4), pages 1197-1215, December.
- Landriault, David, 2008. "Constant dividend barrier in a risk model with interclaim-dependent claim sizes," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 31-38, February.
- 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.
- Dickson, David C.M. & Li, Shuanming, 2010. "Finite time ruin problems for the Erlang(2) risk model," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 12-18, February.
- Yao, Kai & Qin, Zhongfeng, 2015. "A modified insurance risk process with uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 227-233.
- 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.
- Hélène Cossette & Etienne Marceau & Fouad Marri, 2011. "Constant Dividend Barrier in a Risk Model with a Generalized Farlie-Gumbel-Morgenstern Copula," Methodology and Computing in Applied Probability, Springer, vol. 13(3), pages 487-510, September.
- Wong, Jeff T.Y. & Cheung, Eric C.K., 2015. "On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 280-290.
- Tsai, Cary Chi-Liang & Sun, Li-juan, 2004. "On the discounted distribution functions for the Erlang(2) risk process," Insurance: Mathematics and Economics, Elsevier, vol. 35(1), pages 5-19, August.
- Jin, Can & Li, Shuanming & Wu, Xueyuan, 2016. "On the occupation times in a delayed Sparre Andersen risk model with exponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 304-316.
- Albrecher, Hansjorg & Claramunt, M.Merce & Marmol, Maite, 2005. "On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(n) interclaim times," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 324-334, October.
- Ng, Andrew C.Y. & Yang, Hailiang, 2006. "On the joint distribution of surplus before and after ruin under a Markovian regime switching model," Stochastic Processes and their Applications, Elsevier, vol. 116(2), pages 244-266, February.
- Willmot, Gordon E. & Woo, Jae-Kyung, 2010. "Surplus analysis for a class of Coxian interclaim time distributions with applications to mixed Erlang claim amounts," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 32-41, February.
- Yang, Hu & Zhang, Zhimin, 2009. "The perturbed compound Poisson risk model with multi-layer dividend strategy," Statistics & Probability Letters, Elsevier, vol. 79(1), pages 70-78, January.
- Landriault, David & Willmot, Gordon, 2008. "On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 600-608, April.
- Albrecher, Hansjörg & Constantinescu, Corina & Pirsic, Gottlieb & Regensburger, Georg & Rosenkranz, Markus, 2010. "An algebraic operator approach to the analysis of Gerber-Shiu functions," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 42-51, February.
- 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.
- Ambagaspitiya, Rohana S., 2009. "Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 464-472, June.
- Cossette, Hélène & Marceau, Etienne & Marri, Fouad, 2008. "On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 444-455, December.
- Yi Lu, 2016. "On the Evaluation of Expected Penalties at Claim Instants That Cause Ruin in the Classical Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 18(1), pages 237-255, March.
- 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.
- Hu Yang & Zhimin Zhang, 2009. "On a class of renewal risk model with random income," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(6), pages 678-695, November.
- Huang, Tao & Zhao, Ruiqing & Tang, Wansheng, 2009. "Risk model with fuzzy random individual claim amount," European Journal of Operational Research, Elsevier, vol. 192(3), pages 879-890, February.
- Renata G. Alcoforado & Agnieszka I. Bergel & Rui M. R. Cardoso & Alfredo D. Egídio dos Reis & Eugenio V. Rodríguez-Martínez, 2022. "Ruin and Dividend Measures in the Renewal Dual Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 537-569, June.
- Yunyun Wang & Wenguang Yu & Yujuan Huang & Xinliang Yu & Hongli Fan, 2019. "Estimating the Expected Discounted Penalty Function in a Compound Poisson Insurance Risk Model with Mixed Premium Income," Mathematics, MDPI, vol. 7(3), pages 1-25, March.
- Zhou, Ming & Cai, Jun, 2009. "A perturbed risk model with dependence between premium rates and claim sizes," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 382-392, December.
- Cheung, Eric C.K. & Landriault, David & Willmot, Gordon E. & Woo, Jae-Kyung, 2010. "Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 117-126, February.
- Cheung, Eric C.K., 2013. "Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 343-354.
- David Landriault & Jean-François Renaud & Xiaowen Zhou, 2014. "An Insurance Risk Model with Parisian Implementation Delays," Methodology and Computing in Applied Probability, Springer, vol. 16(3), pages 583-607, September.
- Cheung, Eric C.K. & Liu, Haibo & Willmot, Gordon E., 2018. "Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps," Applied Mathematics and Computation, Elsevier, vol. 331(C), pages 358-377.
- Yang, Hu & Zhang, Zhimin, 2008. "Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 984-991, June.
- Zhou, Zhongbao & Xiao, Helu & Deng, Yingchun, 2015. "Markov-dependent risk model with multi-layer dividend strategy," Applied Mathematics and Computation, Elsevier, vol. 252(C), pages 273-286.
- Willmot, Gordon E. & Woo, Jae-Kyung, 2012. "On the analysis of a general class of dependent risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 134-141.
- Ehyter Matías Martín-González & Antonio Murillo-Salas & Henry Pantí, 2022. "Gerber-Shiu Function for a Class of Markov-Modulated Lévy Risk Processes with Two-Sided Jumps," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 2779-2800, December.
- Li, Shuanming & Dickson, David C.M., 2006. "The maximum surplus before ruin in an Erlang(n) risk process and related problems," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 529-539, June.
- Zhimin Zhang & Hailiang Yang & Hu Yang, 2012. "On a Sparre Andersen Risk Model with Time-Dependent Claim Sizes and Jump-Diffusion Perturbation," Methodology and Computing in Applied Probability, Springer, vol. 14(4), pages 973-995, December.
- Anna Castañer & M. Claramunt & Maite Mármol, 2012. "Ruin probability and time of ruin with a proportional reinsurance threshold strategy," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(3), pages 614-638, October.
- Eric C.K. Cheung & Haibo Liu & Jae-Kyung Woo, 2015. "On the Joint Analysis of the Total Discounted Payments to Policyholders and Shareholders: Dividend Barrier Strategy," Risks, MDPI, vol. 3(4), pages 1-24, November.
- Jiechang Ruan & Wenguang Yu & Ke Song & Yihan Sun & Yujuan Huang & Xinliang Yu, 2019. "A Note on a Generalized Gerber–Shiu Discounted Penalty Function for a Compound Poisson Risk Model," Mathematics, MDPI, vol. 7(10), pages 1-12, September.
- Albrecher, Hansjorg & Boxma, Onno J., 2005. "On the discounted penalty function in a Markov-dependent risk model," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 650-672, December.
- Chadjiconstantinidis, Stathis & Papaioannou, Apostolos D., 2009. "Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 470-484, December.