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The expected discounted penalty at ruin in the risk process with random income
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The expected discounted penalty at ruin in the risk process with random income (2006)The expected discounted penalty at ruin i…Risk Process with Random Income (2004)Risk Process with Random Inco…On the expected discounted penalty function at ruin of a surplus process with interest (2002)On the expected discounted pe…Stochastic Processes for Insurance and Finance (2001)Stochastic Processes for Insu…Stochastic Processes for Insurance and Finance (2000)Stochastic Processes for Insu…Analysis of a defective renewal equation arising in ruin theory (1999)Analysis of a defective renew…On the Time Value of Ruin (1998)On the Time Value of RuinModelling of extremal events in insurance and finance (1994)Modelling of extremal events …Aspects of Risk Theory (1991)Aspects of Risk TheoryThe surpluses immediately before and at ruin, and the amount of the claim causing ruin (1988)The surpluses immediately bef…Calculation of the probability of eventual ruin by Beekman's convolution series (1988)Calculation of the probabilit…Extreme Values, Regular Variation and Point Processes (1987)Conditional value-at-risk for general loss distributions (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Top Incomes in the Long Run of History (2011)On the Probability and Severity of Ruin (1987)When does the surplus reach a given target? (1990)On the discounted penalty function in a Markov-dependent risk model (2005)Ruin estimates under interest force (1995)The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin (1997)Collective Risk Theory (2004)The Perturbed Compound Poisson Risk Process with Investment and Debit Interest (2008)A note on scale functions and the time value of ruin for Lévy insurance risk processes (2009)An introduction to mathematical risk theory (1979)Option pricing by Esscher transforms. (1995)Insurance Risk and Ruin (2005)Fluctuations of Lévy Processes with Applications (2014)On Queues with Poisson Arrivals (1957)Recursive Methods for Computing Finite-Time Ruin Probabilities for Phase-Distributed Claim Sizes (1994)Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities (2009)Stochastic Modelling and Analysis: A Computational Approach. (1987)A generalized defective renewal equation for the surplus process perturbed by diffusion (2002)On a general class of renewal risk process: analysis of the Gerber-Shiu function (2005)The Density of the Time to Ruin in the Classical Poisson Risk Model (2005)Controlled diffusion models for optimal dividend pay-out (1997)Optimal Dividends (2004)Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)The expected discounted penalty function under a risk model with stochastic income (2009)A Direct Approach to the Discounted Penalty Function (2010)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)On minimizing the ruin probability by investment and reinsurance (2002)On the optimal dividend problem for a spectrally negative Lévy process (2007)The application of continuous-time random walks in finance and economics (2005)Optimal dividend strategies in a Cramér–Lundberg model with capital injections (2008)
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References

  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 1991Aspects of Risk Theory902 cited
  • 2001Stochastic Processes for Insurance and Finance839 cited
  • 1998On the Time Value of Ruin786 cited
  • 2000Stochastic Processes for Insurance and Finance353 cited
  • 1999Analysis of a defective renewal equation arising in ruin theory155 cited
  • 1988The surpluses immediately before and at ruin, and the amount of the claim causing ruin108 cited
  • 2002On the expected discounted penalty function at ruin of a surplus process with interest91 cited
  • 1988Calculation of the probability of eventual ruin by Beekman's convolution series48 cited
  • 2004Risk Process with Random Income43 cited

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