Advanced search
Publication Cover
International Journal of Computer Mathematics Volume 89, 2012 - Issue 12
Submit an article Journal homepage
288
Views
5
CrossRef citations to date
0
Altmetric
Section A

Gerber–Shiu function for the discrete inhomogeneous claim case

Eugenija Bieliauskienė Faculty of Mathematics and Informatics, Vilnius University, Naugarduko 24, LT-03225, Vilnius, Lithuania
&
Jonas Šiaulys Faculty of Mathematics and Informatics, Vilnius University, Naugarduko 24, LT-03225, Vilnius, LithuaniaCorrespondence[email protected]
Pages 1617-1630 | Received 05 Jan 2011, Accepted 08 May 2012, Published online: 07 Jun 2012

References

  • Bao , Z. H. 2006 . The expected discounted penalty at ruin in the risk process with random income . Appl. Math. Comput. , 179 ( 2 ) : 559 – 566 .
  • Bieliauskienė , E. and Šiaulys , J. 2010 . Infinite time ruin probability in inhomogeneous claims case . Liet. Mat. Rink. LMD darbai. , 51 : 352 – 356 .
  • Blaževičius , K. , Bieliauskienė , E. and Šiaulys , J. 2010 . Finite time ruin probability in the inhomogeneous claim case . Lithuanian Math. J. , 50 ( 3 ) : 260 – 270 .
  • De Vylder , F. E. and Goovaerts , M. J. 1988 . Recursive calculation of finite-time ruin probabilities . Insurance Math. Econom. , 7 : 1 – 8 .
  • Dickson , D. C.M. 1994 . Some comments on the compound binomial model . Astin Bull. , 24 : 33 – 45 .
  • Dickson , D. C.M. 1999 . On numerical evaluation of finite time survival probabilities . British Actuar. J. , 5 : 575 – 584 .
  • Dickson , D. C.M. 2005 . “ Insurance Risk and Ruin ” . Cambridge : Cambridge University Press .
  • Dickson , D. C.M. and Waters , R. 1991 . Recursive calculation of survival probabilities . Astin Bull. , 21 : 199 – 221 .
  • Gerber , H. U. 1988 . Mathematical fun with the compound binomial process . Astin Bull. , 18 : 161 – 168 .
  • Gerber , H. U. and Shiu , E. S.W. 1998 . On the time value of ruin . N. Am. Actuar. J. , 2 : 48 – 78 .
  • Paulsen , J. 2008 . Ruin models with investment income . Probab. Surv. , 5 : 416 – 434 .
  • Shiu , E. S.W. 1989 . The probability of eventual ruin in the compound binomial model . Astin Bull. , 19 : 179 – 190 .
  • Temnov , G. 2004 . Risk process with random income . J. Math. Sci. , 123 ( 1 ) : 3780 – 3794 .
  • Willmot , G. E. 1993 . Ruin probabilities in the compound binomial model . Insurance Math. Econom. , 12 ( 2 ) : 133 – 142 .
  • Yang , H. and Zhang , Z. 2009 . On a class of renewal risk model with random income . Appl. Stoch. Models Bus. Ind. , 25 ( 6 ) : 678 – 695 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.