The expected discounted penalty function: from infinite time to finite time-Reference-Cited by-同舟云学术

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The expected discounted penalty function: from infinite time to finite time

Published:2019-01-07 Issue:4 Volume:2019 Page:336-354
ISSN:0346-1238
Container-title:Scandinavian Actuarial Journal
language:en
Short-container-title:Scandinavian Actuarial Journal

Author:

Li Shuanming¹,Lu Yi²,Sendova Kristina P.³^ORCID

Affiliation:

1. Centre for Actuarial Studies, Department of Economics, The University of Melbourne, Victoria, Australia

2. Department of Statistics and Actuarial Sciences, Simon Fraser University, Burnaby, Canada

3. Department of Statistical and Actuarial Sciences, The University of Western Ontario, London, Canada

Funder

Natural Sciences and Engineering Council of Canada

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03461238.2018.1560955

Reference28 articles.

1. Some Finite Time Ruin Problems

2. Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin

3. A note on some joint distribution functions involving the time of ruin

4. Finite time ruin problems for the Erlang(2) risk model

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1. On an insurance ruin model with a causal dependence structure and perturbation;Journal of Computational and Applied Mathematics;2024-10

2. Gerber-Shiu Metrics for a Bivariate Perturbed Risk Process;Risks;2023-12-27

3. A scale function based approach for solving integral-differential equations in insurance risk models;Applied Mathematics and Computation;2023-08

4. On the time and aggregate claim amount until the surplus drops below zero or reaches a safety level in a jump diffusion risk model;Scandinavian Actuarial Journal;2023-05-10

5. Estimating the Gerber–Shiu Function in the Two-Sided Jumps Risk Model by Laguerre Series Expansion;Mathematics;2023-04-23

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