Lévy processes are the natural continuous-time analogue of random walks and form a rich
class of stochastic processes around which a robust mathematical theory exists. Their …

Lévy processes are the natural continuous-time analogue of random walks and form a rich
class of stochastic processes around which a robust mathematical theory exists. Their …

Abstract The Gerber-Shiu function provides a unified framework for the evaluation of a
variety of risk quantities. Ever since its establishment, it has attracted constantly increasing …

In this paper, we present a review of results for discrete-time risk models, including the
compound binomial risk model and some of its extensions. While most theoretical risk …

In this paper, we consider a Sparre Andersen risk process for which the claim inter-arrival
distribution is Erlang (2). Our purpose is to find expressions for moments of the time to ruin …

This monograph discusses Lundberg approximations for compound distributions with
special emphasis on applications in insurance risk modeling. These distributions are …

A defective renewal equation is derived for the expected discounted penalty due at
ruin,[Formula: see text] in a risk model with Erlang (n) claim inter-arrival times. The approach …

The classical compound Poisson risk model is considered in the presence of a constant
dividend barrier. An integro-differential equation for the Gerber–Shiu discounted penalty …

In this paper, we present the classical compound Poisson risk model with a threshold
dividend strategy. Under such as strategy, no dividends are paid if the insurer's surplus is …

We consider the jump-diffusion that is obtained if an independent Wiener process is added
to the surplus process of classical ruin theory. In this model, we examine the expected …