Bazyari, Abouzar On the ruin probabilities for a general perturbed renewal risk process. (English) Zbl 1520.91307 J. Stat. Plann. Inference 227, 1-17 (2023). MSC: 91G05 60K10 60G46 62G32 PDFBibTeX XMLCite \textit{A. Bazyari}, J. Stat. Plann. Inference 227, 1--17 (2023; Zbl 1520.91307) Full Text: DOI
Kirkby, J. Lars; Aguilar, Jean-Philippe Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees. (English) Zbl 1520.91334 Scand. Actuar. J. 2023, No. 6, 624-654 (2023). MSC: 91G05 91G30 60G51 49L20 PDFBibTeX XMLCite \textit{J. L. Kirkby} and \textit{J.-P. Aguilar}, Scand. Actuar. J. 2023, No. 6, 624--654 (2023; Zbl 1520.91334) Full Text: DOI
He, Yue; Kawai, Reiichiro; Shimizu, Yasutaka; Yamazaki, Kazutoshi The Gerber-Shiu discounted penalty function: a review from practical perspectives. (English) Zbl 1508.91474 Insur. Math. Econ. 109, 1-28 (2023). MSC: 91G05 60K10 PDFBibTeX XMLCite \textit{Y. He} et al., Insur. Math. Econ. 109, 1--28 (2023; Zbl 1508.91474) Full Text: DOI arXiv
Ai, Meiqiao; Zhang, Zhimin; Yu, Wenguang Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model. (English) Zbl 1524.91081 J. Ind. Manag. Optim. 19, No. 3, 1573-1594 (2023). MSC: 91G05 60G51 PDFBibTeX XMLCite \textit{M. Ai} et al., J. Ind. Manag. Optim. 19, No. 3, 1573--1594 (2023; Zbl 1524.91081) Full Text: DOI
Strietzel, Philipp Lukas; Behme, Anita Moments of the ruin time in a Lévy risk model. (English) Zbl 1508.91486 Methodol. Comput. Appl. Probab. 24, No. 4, 3075-3099 (2022). MSC: 91G05 60G51 60G40 PDFBibTeX XMLCite \textit{P. L. Strietzel} and \textit{A. Behme}, Methodol. Comput. Appl. Probab. 24, No. 4, 3075--3099 (2022; Zbl 1508.91486) Full Text: DOI arXiv
Martín-González, Ehyter Matías; Murillo-Salas, Antonio; Pantí, Henry Gerber-Shiu function for a class of Markov-modulated Lévy risk processes with two-sided jumps. (English) Zbl 1506.60049 Methodol. Comput. Appl. Probab. 24, No. 4, 2779-2800 (2022). MSC: 60G51 60J76 60K37 91B05 PDFBibTeX XMLCite \textit{E. M. Martín-González} et al., Methodol. Comput. Appl. Probab. 24, No. 4, 2779--2800 (2022; Zbl 1506.60049) Full Text: DOI
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens; Yslas, Jorge Mortality modeling and regression with matrix distributions. (English) Zbl 1515.62096 Insur. Math. Econ. 107, 68-87 (2022). Reviewer: Tamás Mátrai (Edinburgh) MSC: 62P05 62N02 60J28 91D20 91G05 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Insur. Math. Econ. 107, 68--87 (2022; Zbl 1515.62096) Full Text: DOI arXiv
Bini, Dario; Latouche, Guy; Meini, Beatrice Numerical solution of a matrix integral equation arising in Markov-modulated Lévy processes. (English) Zbl 1497.65073 SIAM J. Sci. Comput. 44, No. 4, A2669-A2690 (2022). MSC: 65F45 60J22 15A24 60G51 60J65 PDFBibTeX XMLCite \textit{D. Bini} et al., SIAM J. Sci. Comput. 44, No. 4, A2669--A2690 (2022; Zbl 1497.65073) Full Text: DOI arXiv
Adékambi, Franck; Takouda, Essodina On the discounted penalty function in a perturbed Erlang renewal risk model with dependence. (English) Zbl 1496.60106 Methodol. Comput. Appl. Probab. 24, No. 2, 481-513 (2022). MSC: 60K05 91G05 PDFBibTeX XMLCite \textit{F. Adékambi} and \textit{E. Takouda}, Methodol. Comput. Appl. Probab. 24, No. 2, 481--513 (2022; Zbl 1496.60106) Full Text: DOI
Ai, Meiqiao; Zhang, Zhimin Pricing some life-contingent lookback options under regime-switching Lévy models. (English) Zbl 1483.91226 J. Comput. Appl. Math. 407, Article ID 114082, 19 p. (2022). MSC: 91G20 60G51 PDFBibTeX XMLCite \textit{M. Ai} and \textit{Z. Zhang}, J. Comput. Appl. Math. 407, Article ID 114082, 19 p. (2022; Zbl 1483.91226) Full Text: DOI
Elghribi, Moncef Stochastic calculus in a risk model with stochastic return on investments. (English) Zbl 1490.60239 Stochastics 93, No. 1, 110-129 (2021). MSC: 60K10 60G51 60J35 60J55 60J60 91G05 PDFBibTeX XMLCite \textit{M. Elghribi}, Stochastics 93, No. 1, 110--129 (2021; Zbl 1490.60239) Full Text: DOI
Wang, Yayun; Zhang, Zhimin; Yu, Wenguang Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model. (English) Zbl 1508.91571 Appl. Math. Comput. 399, Article ID 126031, 16 p. (2021). MSC: 91G20 60J28 60J70 PDFBibTeX XMLCite \textit{Y. Wang} et al., Appl. Math. Comput. 399, Article ID 126031, 16 p. (2021; Zbl 1508.91571) Full Text: DOI
Kirkby, J. Lars; Nguyen, Duy Equity-linked guaranteed minimum death benefits with dollar cost averaging. (English) Zbl 1471.91465 Insur. Math. Econ. 100, 408-428 (2021). MSC: 91G05 60G51 PDFBibTeX XMLCite \textit{J. L. Kirkby} and \textit{D. Nguyen}, Insur. Math. Econ. 100, 408--428 (2021; Zbl 1471.91465) Full Text: DOI
Delsing, G. A.; Mandjes, M. R. H.; Spreij, P. J. C.; Winands, E. M. M. Asymptotics and approximations of ruin probabilities for multivariate risk processes in a Markovian environment. (English) Zbl 1455.91217 Methodol. Comput. Appl. Probab. 22, No. 3, 927-948 (2020). MSC: 91G05 60G55 60J28 PDFBibTeX XMLCite \textit{G. A. Delsing} et al., Methodol. Comput. Appl. Probab. 22, No. 3, 927--948 (2020; Zbl 1455.91217) Full Text: DOI arXiv
Palmowski, Zbigniew; Vatamidou, Eleni Phase-type approximations perturbed by a heavy-tailed component for the Gerber-shiu function of risk processes with two-sided jumps. (English) Zbl 1451.60087 Stoch. Models 36, No. 2, 337-363 (2020). MSC: 60J28 60G70 91G05 PDFBibTeX XMLCite \textit{Z. Palmowski} and \textit{E. Vatamidou}, Stoch. Models 36, No. 2, 337--363 (2020; Zbl 1451.60087) Full Text: DOI arXiv
Peng, Xuanhua; Su, Wen; Zhang, Zhimin On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy. (English) Zbl 1449.91107 J. Ind. Manag. Optim. 16, No. 4, 1967-1986 (2020). MSC: 91G05 60K10 60J74 45K05 PDFBibTeX XMLCite \textit{X. Peng} et al., J. Ind. Manag. Optim. 16, No. 4, 1967--1986 (2020; Zbl 1449.91107) Full Text: DOI
Zhang, Zhimin; Yong, Yaodi; Yu, Wenguang Valuing equity-linked death benefits in general exponential Lévy models. (English) Zbl 1430.91079 J. Comput. Appl. Math. 365, Article ID 112377, 18 p. (2020). Reviewer: Hanspeter Schmidli (Köln) MSC: 91G05 60G51 91G60 PDFBibTeX XMLCite \textit{Z. Zhang} et al., J. Comput. Appl. Math. 365, Article ID 112377, 18 p. (2020; Zbl 1430.91079) Full Text: DOI
Landriault, David; Li, Bin; Shi, Tianxiang; Xu, Di On the distribution of classic and some exotic ruin times. (English) Zbl 1427.91235 Insur. Math. Econ. 89, 38-45 (2019). MSC: 91G05 60K10 PDFBibTeX XMLCite \textit{D. Landriault} et al., Insur. Math. Econ. 89, 38--45 (2019; Zbl 1427.91235) Full Text: DOI
Ragulina, Olena The risk model with stochastic premiums and a multi-layer dividend strategy. (English) Zbl 1427.91240 Mod. Stoch., Theory Appl. 6, No. 3, 285-309 (2019). MSC: 91G05 60K10 PDFBibTeX XMLCite \textit{O. Ragulina}, Mod. Stoch., Theory Appl. 6, No. 3, 285--309 (2019; Zbl 1427.91240) Full Text: DOI arXiv
Su, Wen; Yong, Yaodi; Zhang, Zhimin Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion. (English) Zbl 1402.91216 J. Math. Anal. Appl. 469, No. 2, 705-729 (2019). MSC: 91B30 62P05 62G05 60J70 PDFBibTeX XMLCite \textit{W. Su} et al., J. Math. Anal. Appl. 469, No. 2, 705--729 (2019; Zbl 1402.91216) Full Text: DOI
Navickienė, Olga; Sprindys, Jonas; Šiaulys, Jonas The Gerber-Shiu discounted penalty function for the bi-seasonal discrete time risk model. (English) Zbl 1485.91055 Informatica, Vilnius 29, No. 4, 733-756 (2018). MSC: 91B05 60K10 PDFBibTeX XMLCite \textit{O. Navickienė} et al., Informatica, Vilnius 29, No. 4, 733--756 (2018; Zbl 1485.91055) Full Text: Link
Zhang, Zhimin; Cheung, Eric C. K. A note on a Lévy insurance risk model under periodic dividend decisions. (English) Zbl 1412.60068 J. Ind. Manag. Optim. 14, No. 1, 35-63 (2018). MSC: 60G51 60J75 91B30 62P05 PDFBibTeX XMLCite \textit{Z. Zhang} and \textit{E. C. K. Cheung}, J. Ind. Manag. Optim. 14, No. 1, 35--63 (2018; Zbl 1412.60068) Full Text: DOI
Ahn, Soohan; Badescu, Andrei L.; Cheung, Eric C. K.; Kim, Jeong-Rae An IBNR-RBNS insurance risk model with marked Poisson arrivals. (English) Zbl 1400.91238 Insur. Math. Econ. 79, 26-42 (2018). MSC: 91B30 62P05 60J25 60K10 PDFBibTeX XMLCite \textit{S. Ahn} et al., Insur. Math. Econ. 79, 26--42 (2018; Zbl 1400.91238) Full Text: DOI
Zhang, Zhimin Estimating the Gerber-Shiu function by Fourier-Sinc series expansion. (English) Zbl 1402.91219 Scand. Actuar. J. 2017, No. 10, 898-919 (2017). MSC: 91B30 60K10 62P05 62F12 PDFBibTeX XMLCite \textit{Z. Zhang}, Scand. Actuar. J. 2017, No. 10, 898--919 (2017; Zbl 1402.91219) Full Text: DOI
Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang Lévy insurance risk process with Poissonian taxation. (English) Zbl 1401.91216 Scand. Actuar. J. 2017, No. 1, 51-87 (2017). MSC: 91B30 91B64 60G51 62P05 60J75 60K10 PDFBibTeX XMLCite \textit{Z. Zhang} et al., Scand. Actuar. J. 2017, No. 1, 51--87 (2017; Zbl 1401.91216) Full Text: DOI Link
Zhang, Zhimin; Liu, Chaolin Moments of discounted dividend payments in a risk model with randomized dividend-decision times. (English) Zbl 1405.91269 Front. Math. China 12, No. 2, 493-513 (2017). MSC: 91B30 45K05 60J70 PDFBibTeX XMLCite \textit{Z. Zhang} and \textit{C. Liu}, Front. Math. China 12, No. 2, 493--513 (2017; Zbl 1405.91269) Full Text: DOI
Woo, Jae-Kyung; Xu, Ran; Yang, Hailiang Gerber-Shiu analysis with two-sided acceptable levels. (English) Zbl 1364.91071 J. Comput. Appl. Math. 321, 185-210 (2017). MSC: 91B30 60K10 60K20 PDFBibTeX XMLCite \textit{J.-K. Woo} et al., J. Comput. Appl. Math. 321, 185--210 (2017; Zbl 1364.91071) Full Text: DOI
Zhang, Zhimin; Yang, Yang; Liu, Chaolin On a perturbed compound Poisson model with varying premium rates. (English) Zbl 1364.91076 J. Ind. Manag. Optim. 13, No. 2, 721-736 (2017). MSC: 91B30 60K10 62P05 PDFBibTeX XMLCite \textit{Z. Zhang} et al., J. Ind. Manag. Optim. 13, No. 2, 721--736 (2017; Zbl 1364.91076) Full Text: DOI
Shimizu, Yasutaka; Zhang, Zhimin Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus. (English) Zbl 1394.62147 Insur. Math. Econ. 74, 84-98 (2017). MSC: 62P05 60G51 62M05 62G20 91B30 PDFBibTeX XMLCite \textit{Y. Shimizu} and \textit{Z. Zhang}, Insur. Math. Econ. 74, 84--98 (2017; Zbl 1394.62147) Full Text: DOI
Wang, Houchun; Ling, Nengxiang On the Gerber-Shiu function with random discount rate. (English) Zbl 1360.62067 Commun. Stat., Theory Methods 46, No. 1, 210-220 (2017). MSC: 62E20 60K05 PDFBibTeX XMLCite \textit{H. Wang} and \textit{N. Ling}, Commun. Stat., Theory Methods 46, No. 1, 210--220 (2017; Zbl 1360.62067) Full Text: DOI
Ramsden, Lewis; Papaioannou, Apostolos D. Asymptotic results for a Markov-modulated risk process with stochastic investment. (English) Zbl 1410.91285 J. Comput. Appl. Math. 313, 38-53 (2017). MSC: 91B30 60J20 60K10 PDFBibTeX XMLCite \textit{L. Ramsden} and \textit{A. D. Papaioannou}, J. Comput. Appl. Math. 313, 38--53 (2017; Zbl 1410.91285) Full Text: DOI
Liu, Peng; Zhang, Chunsheng; Ji, Lanpeng A note on ruin problems in perturbed classical risk models. (English) Zbl 1463.91033 Stat. Probab. Lett. 120, 28-33 (2017). MSC: 91B05 60K10 PDFBibTeX XMLCite \textit{P. Liu} et al., Stat. Probab. Lett. 120, 28--33 (2017; Zbl 1463.91033) Full Text: DOI arXiv
Liu, Chaolin; Zhang, Zhimin; Yang, Hu A note on a discrete time MAP risk model. (English) Zbl 1410.91276 J. Comput. Appl. Math. 309, 111-121 (2017). MSC: 91B30 60J20 60J60 PDFBibTeX XMLCite \textit{C. Liu} et al., J. Comput. Appl. Math. 309, 111--121 (2017; Zbl 1410.91276) Full Text: DOI
Zhang, Zhimin; Cheung, Eric C. K. The Markov additive risk process under an Erlangized dividend barrier strategy. (English) Zbl 1338.91081 Methodol. Comput. Appl. Probab. 18, No. 2, 275-306 (2016). MSC: 91B30 60K20 PDFBibTeX XMLCite \textit{Z. Zhang} and \textit{E. C. K. Cheung}, Methodol. Comput. Appl. Probab. 18, No. 2, 275--306 (2016; Zbl 1338.91081) Full Text: DOI Link
Kolkovska, Ekaterina T.; Martín-González, Ehyter M. Gerber-Shiu functionals for classical risk processes perturbed by an \(\alpha\)-stable motion. (English) Zbl 1348.91159 Insur. Math. Econ. 66, 22-28 (2016). MSC: 91B30 60K10 62P05 PDFBibTeX XMLCite \textit{E. T. Kolkovska} and \textit{E. M. Martín-González}, Insur. Math. Econ. 66, 22--28 (2016; Zbl 1348.91159) Full Text: DOI
Liu, Chaolin; Zhang, Zhimin On a generalized Gerber-Shiu function in a compound Poisson model perturbed by diffusion. (English) Zbl 1410.91275 Adv. Difference Equ. 2015, Paper No. 34, 20 p. (2015). MSC: 91B30 44A10 60J60 PDFBibTeX XMLCite \textit{C. Liu} and \textit{Z. Zhang}, Adv. Difference Equ. 2015, Paper No. 34, 20 p. (2015; Zbl 1410.91275) Full Text: DOI
Paroissin, Christian; Rabehasaina, Landy First and last passage times of spectrally positive Lévy processes with application to reliability. (English) Zbl 1319.60099 Methodol. Comput. Appl. Probab. 17, No. 2, 351-372 (2015). MSC: 60G51 60K10 60J65 60J75 PDFBibTeX XMLCite \textit{C. Paroissin} and \textit{L. Rabehasaina}, Methodol. Comput. Appl. Probab. 17, No. 2, 351--372 (2015; Zbl 1319.60099) Full Text: DOI arXiv
Landriault, David; Shi, Tianxiang Occupation times in the MAP risk model. (English) Zbl 1308.91087 Insur. Math. Econ. 60, 75-82 (2015). MSC: 91B30 60J28 PDFBibTeX XMLCite \textit{D. Landriault} and \textit{T. Shi}, Insur. Math. Econ. 60, 75--82 (2015; Zbl 1308.91087) Full Text: DOI
Chadjiconstantinidis, Stathis; Vrontos, Spyridon On a renewal risk process with dependence under a Farlie-Gumbel-Morgenstern copula. (English) Zbl 1401.91107 Scand. Actuar. J. 2014, No. 2, 125-158 (2014). MSC: 91B30 60K05 62H05 PDFBibTeX XMLCite \textit{S. Chadjiconstantinidis} and \textit{S. Vrontos}, Scand. Actuar. J. 2014, No. 2, 125--158 (2014; Zbl 1401.91107) Full Text: DOI
Zhang, Zhimin; Wu, Xiu; Yang, Hu On a perturbed Sparre Andersen risk model with dividend barrier and dependence. (English) Zbl 1304.91139 J. Korean Stat. Soc. 43, No. 4, 585-598 (2014). MSC: 91B30 60G51 60J65 PDFBibTeX XMLCite \textit{Z. Zhang} et al., J. Korean Stat. Soc. 43, No. 4, 585--598 (2014; Zbl 1304.91139) Full Text: DOI
Feng, Runhuan; Shimizu, Yasutaka On a generalization from ruin to default in a Lévy insurance risk model. (English) Zbl 1307.91096 Methodol. Comput. Appl. Probab. 15, No. 4, 773-802 (2013). MSC: 91B30 60G51 60J45 PDFBibTeX XMLCite \textit{R. Feng} and \textit{Y. Shimizu}, Methodol. Comput. Appl. Probab. 15, No. 4, 773--802 (2013; Zbl 1307.91096) Full Text: DOI
Cheng, Jianhua; Wang, Dehui On a perturbed MAP risk model under a threshold dividend strategy. (English) Zbl 1294.91074 J. Korean Stat. Soc. 42, No. 4, 543-564 (2013). MSC: 91B30 60K20 60F10 PDFBibTeX XMLCite \textit{J. Cheng} and \textit{D. Wang}, J. Korean Stat. Soc. 42, No. 4, 543--564 (2013; Zbl 1294.91074) Full Text: DOI
Chadjiconstantinidis, Stathis; Papaioannou, Apostolos D. On a perturbed by diffusion compound Poisson risk model with delayed claims and multi-layer dividend strategy. (English) Zbl 1294.91073 J. Comput. Appl. Math. 253, 26-50 (2013). Reviewer: Hanspeter Schmidli (Köln) MSC: 91B30 60J25 60J65 PDFBibTeX XMLCite \textit{S. Chadjiconstantinidis} and \textit{A. D. Papaioannou}, J. Comput. Appl. Math. 253, 26--50 (2013; Zbl 1294.91073) Full Text: DOI
Zhang, Zhimin; Yang, Hailiang; Yang, Hu On a Sparre Andersen risk model perturbed by a spectrally negative Lévy process. (English) Zbl 1408.91109 Scand. Actuar. J. 2013, No. 3, 214-240 (2013). MSC: 91B30 91B70 60G51 60K05 60G70 PDFBibTeX XMLCite \textit{Z. Zhang} et al., Scand. Actuar. J. 2013, No. 3, 214--240 (2013; Zbl 1408.91109) Full Text: DOI
Rabehasaina, Landy; Tsai, Cary Chi-Liang Ruin time and aggregate claim amount up to ruin time for the perturbed risk process. (English) Zbl 1287.91095 Scand. Actuar. J. 2013, No. 3, 187-213 (2013). Reviewer: Hanspeter Schmidli (Köln) MSC: 91B30 91B70 60K05 60G51 PDFBibTeX XMLCite \textit{L. Rabehasaina} and \textit{C. C. L. Tsai}, Scand. Actuar. J. 2013, No. 3, 187--213 (2013; Zbl 1287.91095) Full Text: DOI
Zou, Wei; Xie, Jie-hua On the Gerber-Shiu discounted penalty function in a risk model with delayed claims. (English) Zbl 1296.91172 J. Korean Stat. Soc. 41, No. 3, 387-397 (2012). MSC: 91B30 60J65 60K10 62P05 PDFBibTeX XMLCite \textit{W. Zou} and \textit{J.-h. Xie}, J. Korean Stat. Soc. 41, No. 3, 387--397 (2012; Zbl 1296.91172) Full Text: DOI
Cossette, Hélène; Landriault, David; Marceau, Etienne; Moutanabbir, Khouzeima Analysis of the discounted sum of ascending ladder heights. (English) Zbl 1284.91220 Insur. Math. Econ. 51, No. 2, 393-401 (2012). MSC: 91B30 60K10 PDFBibTeX XMLCite \textit{H. Cossette} et al., Insur. Math. Econ. 51, No. 2, 393--401 (2012; Zbl 1284.91220) Full Text: DOI
Shimizu, Yasutaka Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model. (English) Zbl 1277.62096 Scand. Actuar. J. 2012, No. 1, 56-69 (2012). MSC: 62G05 91B30 60K10 PDFBibTeX XMLCite \textit{Y. Shimizu}, Scand. Actuar. J. 2012, No. 1, 56--69 (2012; Zbl 1277.62096) Full Text: DOI
Gatto, Riccardo; Mosimann, Michael Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion. (English) Zbl 1255.91179 Math. Comput. Modelling 55, No. 3-4, 1169-1185 (2012). MSC: 91B30 60H30 PDFBibTeX XMLCite \textit{R. Gatto} and \textit{M. Mosimann}, Math. Comput. Modelling 55, No. 3--4, 1169--1185 (2012; Zbl 1255.91179) Full Text: DOI
Shimizu, Y. Estimation of the expected discounted penalty function for Lévy insurance risks. (English) Zbl 1308.62199 Math. Methods Stat. 20, No. 2, 125-149 (2011). MSC: 62P05 91B30 60G51 62G20 62M05 PDFBibTeX XMLCite \textit{Y. Shimizu}, Math. Methods Stat. 20, No. 2, 125--149 (2011; Zbl 1308.62199) Full Text: DOI
Stanford, David A.; Yu, Kaiqi; Ren, Jiandong Erlangian approximation to finite time ruin probabilities in perturbed risk models. (English) Zbl 1277.60128 Scand. Actuar. J. 2011, No. 1, 38-58 (2011). MSC: 60J28 60J70 60K05 PDFBibTeX XMLCite \textit{D. A. Stanford} et al., Scand. Actuar. J. 2011, No. 1, 38--58 (2011; Zbl 1277.60128) Full Text: DOI Link
Dermitzakis, Vaios; Politis, Konstadinos Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion. (English) Zbl 1242.91090 Methodol. Comput. Appl. Probab. 13, No. 4, 749-761 (2011). MSC: 91B30 60K10 60K05 PDFBibTeX XMLCite \textit{V. Dermitzakis} and \textit{K. Politis}, Methodol. Comput. Appl. Probab. 13, No. 4, 749--761 (2011; Zbl 1242.91090) Full Text: DOI
Zhu, Jinxia; Yang, Hailiang; Ng, Kai Wang Ruin probabilities for the perturbed compound Poisson risk process with investment. (English) Zbl 1315.91034 Commun. Stat., Theory Methods 40, No. 21, 3917-3934 (2011). MSC: 91B30 60J25 60J65 60J75 60K10 PDFBibTeX XMLCite \textit{J. Zhu} et al., Commun. Stat., Theory Methods 40, No. 21, 3917--3934 (2011; Zbl 1315.91034) Full Text: DOI
Zhang, Zhen Zhong; Zou, Jie Zhong; Liu, Yuan Yuan The maximum surplus distribution before ruin in an Erlang(\(n\)) risk process perturbed by diffusion. (English) Zbl 1237.91145 Acta Math. Sin., Engl. Ser. 27, No. 9, 1869-1880 (2011). MSC: 91B30 60K10 PDFBibTeX XMLCite \textit{Z. Z. Zhang} et al., Acta Math. Sin., Engl. Ser. 27, No. 9, 1869--1880 (2011; Zbl 1237.91145) Full Text: DOI
Chi, Yichun; Lin, X. Sheldon On the threshold dividend strategy for a generalized jump-diffusion risk model. (English) Zbl 1218.91072 Insur. Math. Econ. 48, No. 3, 326-337 (2011). MSC: 91B30 60K10 PDFBibTeX XMLCite \textit{Y. Chi} and \textit{X. S. Lin}, Insur. Math. Econ. 48, No. 3, 326--337 (2011; Zbl 1218.91072) Full Text: DOI
Dong, Yinghui; Wang, Guojing; Wu, Rong Pricing the zero-coupon bond and its fair premium under a structural credit risk model with jumps. (English) Zbl 1217.91195 J. Appl. Probab. 48, No. 2, 404-419 (2011). MSC: 91G40 91B25 60J75 44A10 PDFBibTeX XMLCite \textit{Y. Dong} et al., J. Appl. Probab. 48, No. 2, 404--419 (2011; Zbl 1217.91195) Full Text: DOI
Xie, Jie-Hua; Zou, Wei On the expected discounted penalty function for the compound Poisson risk model with delayed claims. (English) Zbl 1350.91013 J. Comput. Appl. Math. 235, No. 8, 2392-2404 (2011). MSC: 91B30 60K10 PDFBibTeX XMLCite \textit{J.-H. Xie} and \textit{W. Zou}, J. Comput. Appl. Math. 235, No. 8, 2392--2404 (2011; Zbl 1350.91013) Full Text: DOI
Zhang, Zhimin; Yang, Hu Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times. (English) Zbl 1202.91131 J. Comput. Appl. Math. 235, No. 5, 1189-1204 (2011). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91B30 91B70 60K20 PDFBibTeX XMLCite \textit{Z. Zhang} and \textit{H. Yang}, J. Comput. Appl. Math. 235, No. 5, 1189--1204 (2011; Zbl 1202.91131) Full Text: DOI
Yang, Hu; Zhang, Zhimin When does surplus reach a given target before ruin in the Markov-modulated diffusion model? (English) Zbl 1294.91081 J. Korean Stat. Soc. 39, No. 2, 207-219 (2010). MSC: 91B30 60J70 PDFBibTeX XMLCite \textit{H. Yang} and \textit{Z. Zhang}, J. Korean Stat. Soc. 39, No. 2, 207--219 (2010; Zbl 1294.91081) Full Text: DOI
Biffis, Enrico; Kyprianou, Andreas E. A note on scale functions and the time value of ruin for Lévy insurance risk processes. (English) Zbl 1231.91145 Insur. Math. Econ. 46, No. 1, 85-91 (2010). MSC: 91B30 60G51 60K10 PDFBibTeX XMLCite \textit{E. Biffis} and \textit{A. E. Kyprianou}, Insur. Math. Econ. 46, No. 1, 85--91 (2010; Zbl 1231.91145) Full Text: DOI
Chi, Yichun; Jaimungal, Sebastian; Lin, X. Sheldon An insurance risk model with stochastic volatility. (English) Zbl 1231.91163 Insur. Math. Econ. 46, No. 1, 52-66 (2010). MSC: 91B30 91B70 45J05 60H30 PDFBibTeX XMLCite \textit{Y. Chi} et al., Insur. Math. Econ. 46, No. 1, 52--66 (2010; Zbl 1231.91163) Full Text: DOI
Tsai, Cary Chi-Liang; Lu, Yi An effective method for constructing bounds for ruin probabilities for the surplus process perturbed by diffusion. (English) Zbl 1226.91030 Scand. Actuar. J. 2010, No. 3, 200-220 (2010). MSC: 91B30 60K10 60E15 PDFBibTeX XMLCite \textit{C. C. L. Tsai} and \textit{Y. Lu}, Scand. Actuar. J. 2010, No. 3, 200--220 (2010; Zbl 1226.91030) Full Text: DOI
Wang, Wei; He, Jing-Min; Wu, Rong Smoothness of certain functions in two kinds of risk models with a barrier dividend strategy. (English) Zbl 1207.60057 Acta Math. Appl. Sin., Engl. Ser. 26, No. 4, 661-668 (2010). Reviewer: Nicko G. Gamkrelidze (Moskva) MSC: 60K10 60J75 91B30 PDFBibTeX XMLCite \textit{W. Wang} et al., Acta Math. Appl. Sin., Engl. Ser. 26, No. 4, 661--668 (2010; Zbl 1207.60057) Full Text: DOI
Song, Min; Meng, Qingbin; Wu, Rong; Ren, Jiandong The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times. (English) Zbl 1202.91129 Appl. Math. Comput. 216, No. 2, 523-531 (2010). MSC: 91B30 60K15 PDFBibTeX XMLCite \textit{M. Song} et al., Appl. Math. Comput. 216, No. 2, 523--531 (2010; Zbl 1202.91129) Full Text: DOI
Mitric, Ilie-Radu; Sendova, Kristina P.; Tsai, Cary Chi-Liang On a multi-threshold compound Poisson process perturbed by diffusion. (English) Zbl 1489.91068 Stat. Probab. Lett. 80, No. 5-6, 366-375 (2010). MSC: 91B05 60K10 62P05 PDFBibTeX XMLCite \textit{I.-R. Mitric} et al., Stat. Probab. Lett. 80, No. 5--6, 366--375 (2010; Zbl 1489.91068) Full Text: DOI
Chadjiconstantinidis, Stathis; Papaioannou, Apostolos D. Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims. (English) Zbl 1231.91153 Insur. Math. Econ. 45, No. 3, 470-484 (2009). MSC: 91B30 60K10 PDFBibTeX XMLCite \textit{S. Chadjiconstantinidis} and \textit{A. D. Papaioannou}, Insur. Math. Econ. 45, No. 3, 470--484 (2009; Zbl 1231.91153) Full Text: DOI
Yuen, Kam C.; Lu, Yuhua; Wu, Rong The compound Poisson process perturbed by a diffusion with a threshold dividend strategy. (English) Zbl 1224.91100 Appl. Stoch. Models Bus. Ind. 25, No. 1, 73-93 (2009). Reviewer: A. D. Borisenko (Kyïv) MSC: 91B30 60K10 60J70 PDFBibTeX XMLCite \textit{K. C. Yuen} et al., Appl. Stoch. Models Bus. Ind. 25, No. 1, 73--93 (2009; Zbl 1224.91100) Full Text: DOI
Li, Bo; Wu, Rong A note on the perturbed compound Poisson risk model with a threshold dividend strategy. (English) Zbl 1187.62159 Acta Math. Appl. Sin., Engl. Ser. 25, No. 2, 205-216 (2009). Reviewer: Pavel Stoynov (Sofia) MSC: 62P05 60G99 60J99 45K05 60J75 PDFBibTeX XMLCite \textit{B. Li} and \textit{R. Wu}, Acta Math. Appl. Sin., Engl. Ser. 25, No. 2, 205--216 (2009; Zbl 1187.62159) Full Text: DOI
Chen, Yu-Ting; Sheu, Yuan-Chung A generalized renewal equation for perturbed compound Poisson processes with two-sided jumps. (English) Zbl 1176.60076 Stochastic Anal. Appl. 27, No. 5, 897-910 (2009). MSC: 60J75 60J25 60G44 91B30 PDFBibTeX XMLCite \textit{Y.-T. Chen} and \textit{Y.-C. Sheu}, Stochastic Anal. Appl. 27, No. 5, 897--910 (2009; Zbl 1176.60076) Full Text: DOI
Lu, Zhaoyang; Xu, Wei; Sun, Decai; Han, Weiguo On the expected discounted penalty functions for two classes of risk processes under a threshold dividend strategy. (English) Zbl 1232.91354 J. Comput. Appl. Math. 232, No. 2, 582-593 (2009). MSC: 91B30 91B70 60K05 44A10 PDFBibTeX XMLCite \textit{Z. Lu} et al., J. Comput. Appl. Math. 232, No. 2, 582--593 (2009; Zbl 1232.91354) Full Text: DOI
Lu, Zhaoyang; Xu, Wei; Zhang, Yan; Sun, Yingling On the ruin probability for the Cox correlated risk model perturbed by diffusion. (English) Zbl 1158.60332 Stat. Probab. Lett. 79, No. 3, 381-389 (2009). MSC: 60F10 60F05 60G50 91B30 PDFBibTeX XMLCite \textit{Z. Lu} et al., Stat. Probab. Lett. 79, No. 3, 381--389 (2009; Zbl 1158.60332) Full Text: DOI
Yang, Hu; Zhang, Zhimin The perturbed compound Poisson risk model with multi-layer dividend strategy. (English) Zbl 1169.62358 Stat. Probab. Lett. 79, No. 1, 70-78 (2009). MSC: 62P05 91B30 60K10 45J05 PDFBibTeX XMLCite \textit{H. Yang} and \textit{Z. Zhang}, Stat. Probab. Lett. 79, No. 1, 70--78 (2009; Zbl 1169.62358) Full Text: DOI
Li, Bo; Wu, Rong The dividend function in the jump-diffusion dual model with barrier dividend strategy. (English) Zbl 1166.60325 Appl. Math. Mech., Engl. Ed. 29, No. 9, 1239-1249 (2008). MSC: 60J75 62P25 PDFBibTeX XMLCite \textit{B. Li} and \textit{R. Wu}, Appl. Math. Mech., Engl. Ed. 29, No. 9, 1239--1249 (2008; Zbl 1166.60325) Full Text: DOI
Badescu, Andrei; Breuer, Lothar The use of vector-valued martingales in risk theory. (English) Zbl 1184.91107 Bl. DGVFM 29, No. 1, 1-12 (2008). MSC: 91B30 60G44 PDFBibTeX XMLCite \textit{A. Badescu} and \textit{L. Breuer}, Bl. DGVFM 29, No. 1, 1--12 (2008; Zbl 1184.91107) Full Text: DOI
Frostig, E. On ruin probability for a risk process perturbed by a Lévy process with no negative jumps. (English) Zbl 1151.91567 Stoch. Models 24, No. 2, 288-313 (2008). MSC: 91B30 60K37 PDFBibTeX XMLCite \textit{E. Frostig}, Stoch. Models 24, No. 2, 288--313 (2008; Zbl 1151.91567) Full Text: DOI
Ko, Bangwon “The discounted joint distribution of the surplus prior to ruin and the deficit at ruin in a Sparre Andersen model”, Jiandong Ren, July 2007. (English) Zbl 1480.91078 N. Am. Actuar. J. 11, No. 3, 136-137 (2007). MSC: 91B05 60K10 PDFBibTeX XMLCite \textit{B. Ko}, N. Am. Actuar. J. 11, No. 3, 136--137 (2007; Zbl 1480.91078) Full Text: DOI
Chen, Yu-Ting; Lee, Cheng-Few; Sheu, Yuan-Chung An ODE approach for the expected discounted penalty at ruin in jump-diffusion model. (English) Zbl 1164.60034 Finance Stoch. 11, No. 3, 323-355 (2007). Reviewer: N. M. Zinchenko (Kyïv) MSC: 60G70 60J10 60F10 PDFBibTeX XMLCite \textit{Y.-T. Chen} et al., Finance Stoch. 11, No. 3, 323--355 (2007; Zbl 1164.60034) Full Text: DOI
Morales, Manuel On the expected discounted penalty function for a perturbed risk process driven by a subordinator. (English) Zbl 1130.91032 Insur. Math. Econ. 40, No. 2, 293-301 (2007). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91B30 60K10 60K05 PDFBibTeX XMLCite \textit{M. Morales}, Insur. Math. Econ. 40, No. 2, 293--301 (2007; Zbl 1130.91032) Full Text: DOI
Tsai, Cary Chi-Liang On the stop-loss transform and order for the surplus process perturbed by diffusion. (English) Zbl 1147.91350 Insur. Math. Econ. 39, No. 1, 151-170 (2006). MSC: 91B30 60K05 60K10 PDFBibTeX XMLCite \textit{C. C. L. Tsai}, Insur. Math. Econ. 39, No. 1, 151--170 (2006; Zbl 1147.91350) Full Text: DOI
Sarkar, Joykrishna; Sen, Arusharka Weak convergence approach to compound Poisson risk processes perturbed by diffusion. (English) Zbl 1242.91097 Insur. Math. Econ. 36, No. 3, 421-432 (2005). MSC: 91B30 60F05 60J60 60J70 PDFBibTeX XMLCite \textit{J. Sarkar} and \textit{A. Sen}, Insur. Math. Econ. 36, No. 3, 421--432 (2005; Zbl 1242.91097) Full Text: DOI Link
Ren, Jiandong The expected value of the time of ruin and the moments of the discounted deficit at ruin in the perturbed classical risk process. (English) Zbl 1129.91027 Insur. Math. Econ. 37, No. 3, 505-521 (2005). MSC: 91B30 60J65 PDFBibTeX XMLCite \textit{J. Ren}, Insur. Math. Econ. 37, No. 3, 505--521 (2005; Zbl 1129.91027) Full Text: DOI
Ng, Andrew C. Y.; Yang, Hailiang Lundberg-type bounds for the joint distribution of surplus immediately before and at ruin under the Sparre Andersen model. With discussions. (English) Zbl 1085.60517 N. Am. Actuar. J. 9, No. 2, 85-107 (2005). MSC: 60K10 60K05 PDFBibTeX XMLCite \textit{A. C. Y. Ng} and \textit{H. Yang}, N. Am. Actuar. J. 9, No. 2, 85--107 (2005; Zbl 1085.60517) Full Text: DOI
Gerber, Hans U.; Shiu, Elias S. W. The time value of ruin in a Sparre Andersen model. With discussion and a reply by the authors. (English) Zbl 1085.62508 N. Am. Actuar. J. 9, No. 2, 49-84 (2005). MSC: 62P05 91G50 60K10 60K05 PDFBibTeX XMLCite \textit{H. U. Gerber} and \textit{E. S. W. Shiu}, N. Am. Actuar. J. 9, No. 2, 49--84 (2005; Zbl 1085.62508) Full Text: DOI
Yuen, Kam C.; Yang, Hailiang; Wang, Rongming On Erlang(2) risk process perturbed by diffusion. (English) Zbl 1078.60509 Commun. Stat., Theory Methods 34, No. 11, 2197-2208 (2005). MSC: 60J35 60K25 62P05 PDFBibTeX XMLCite \textit{K. C. Yuen} et al., Commun. Stat., Theory Methods 34, No. 11, 2197--2208 (2005; Zbl 1078.60509) Full Text: DOI
Li, Shuanming; Lu, Yi On the expected discounted penalty functions for two classes of risk processes. (English) Zbl 1122.91040 Insur. Math. Econ. 36, No. 2, 179-193 (2005). MSC: 91B30 45J05 60G55 65C20 PDFBibTeX XMLCite \textit{S. Li} and \textit{Y. Lu}, Insur. Math. Econ. 36, No. 2, 179--193 (2005; Zbl 1122.91040) Full Text: DOI
Li, Shuanming; Garrido, José On a class of renewal risk models with a constant dividend barrier. (English) Zbl 1122.91345 Insur. Math. Econ. 35, No. 3, 691-701 (2004). MSC: 91B30 60K10 PDFBibTeX XMLCite \textit{S. Li} and \textit{J. Garrido}, Insur. Math. Econ. 35, No. 3, 691--701 (2004; Zbl 1122.91345) Full Text: DOI
Zhou, Xiaowen When does surplus reach a certain level before ruin? (English) Zbl 1117.91387 Insur. Math. Econ. 35, No. 3, 553-561 (2004). MSC: 91B30 60G51 PDFBibTeX XMLCite \textit{X. Zhou}, Insur. Math. Econ. 35, No. 3, 553--561 (2004; Zbl 1117.91387) Full Text: DOI
Tsai, Cary Chi-Liang; Sun, Li-juan On the discounted distribution functions for the Erlang(2) risk process. (English) Zbl 1215.62114 Insur. Math. Econ. 35, No. 1, 5-19 (2004). MSC: 62P05 91B30 60K05 PDFBibTeX XMLCite \textit{C. C. L. Tsai} and \textit{L.-j. Sun}, Insur. Math. Econ. 35, No. 1, 5--19 (2004; Zbl 1215.62114) Full Text: DOI
Tsai, Cary Chi-Liang On the expectations of the present values of the time of ruin perturbed by diffusion. (English) Zbl 1066.91062 Insur. Math. Econ. 32, No. 3, 413-429 (2003). Reviewer: Neculai Curteanu (Iaşi) MSC: 91B30 60J70 62E17 62E20 PDFBibTeX XMLCite \textit{C. C. L. Tsai}, Insur. Math. Econ. 32, No. 3, 413--429 (2003; Zbl 1066.91062) Full Text: DOI
Tsai, Cary Chi-Liang; Willmot, Gordon E. On the moments of the surplus process perturbed by diffusion. (English) Zbl 1063.91051 Insur. Math. Econ. 31, No. 3, 327-350 (2002). Reviewer: Giacomo Bonanno (Davis) MSC: 91B30 60J70 PDFBibTeX XMLCite \textit{C. C. L. Tsai} and \textit{G. E. Willmot}, Insur. Math. Econ. 31, No. 3, 327--350 (2002; Zbl 1063.91051) Full Text: DOI