메뉴 건너뛰기




Volumn 10, Issue 4, 2006, Pages 196-216

On The Expected Discounted Penalty function for Lévy Risk Processes

Author keywords

[No Author keywords available]

Indexed keywords


EID: 34548050921     PISSN: 10920277     EISSN: None     Source Type: Journal    
DOI: 10.1080/10920277.2006.10597421     Document Type: Article
Times cited : (58)

References (32)
  • 1
    • 0004245694 scopus 로고
    • Handbook of Mathematical Functions with Formulas
    • New York: Dover
    • Abramowitz, Milton, and Irene A. Stegun. 1970. Handbook of Mathematical Functions with Formulas, Graphs and Mathematical Tables. New York: Dover.
    • (1970) Graphs and Mathematical Tables
    • Abramowitz, M.1    Stegun, I.A.2
  • 5
    • 0003975247 scopus 로고    scopus 로고
    • Cambridge Tracts in Mathematics 121. Cambridge: Cambridge University Press
    • Bertoin, Jean. 1996. Lévy Processes. Cambridge Tracts in Mathematics 121. Cambridge: Cambridge University Press.
    • (1996) Lévy Processes
    • Bertoin, J.1
  • 8
    • 0032585467 scopus 로고    scopus 로고
    • On the Computation of Aggregate Claims Distributions: Some New Approximations
    • Chaubey, Yogendra P., José Garrido, and Sonia Trudeau. 1998. On the Computation of Aggregate Claims Distributions: Some New Approximations. Insurance: Mathematics and Economics 23(3): 215-30.
    • (1998) Insurance: Mathematics and Economics , vol.23 , Issue.3 , pp. 215-230
    • Chaubey, Y.P.1    Garrido, J.2    Trudeau, S.3
  • 9
    • 33845791622 scopus 로고    scopus 로고
    • Passage Times for a Spectrally Negative Lévy Process with Applications to Risk Theory
    • Chiu, Sung Nok, and Chuancun Yin. 2005. Passage Times for a Spectrally Negative Lévy Process with Applications to Risk Theory. Bernoulli 11(3): 511-22.
    • (2005) Bernoulli , vol.11 , Issue.3 , pp. 511-522
    • Chiu, S.N.1    Yin, C.2
  • 10
    • 33645656624 scopus 로고    scopus 로고
    • Overshoots and Undershoots of Lévy Processes
    • Doney, Ronald A., and Andreas E. Kyprianou. 2006. Overshoots and Undershoots of Lévy Processes. Annals of Applied Probability 16(1): 91-106.
    • (2006) Annals of Applied Probability , vol.16 , Issue.1 , pp. 91-106
    • Doney, R.A.1    Kyprianou, A.E.2
  • 12
    • 0001912797 scopus 로고
    • Risk Theory for the Compound Poisson Process That Is Perturbed by Diffusion
    • Dufresne, Franç Ois, and Hans U. Gerber. 1991. Risk Theory for the Compound Poisson Process That Is Perturbed by Diffusion. Insurance: Mathematics and Economics 10(1): 51-59.
    • (1991) Insurance: Mathematics and Economics , vol.10 , Issue.1 , pp. 51-59
    • Dufresne, F.O.1    Gerber, H.U.2
  • 13
    • 84971942395 scopus 로고
    • Risk Theory with the Gamma Process
    • Dufresne, Franç Ois, Hans U. Gerber, and Elias S. W. Shiu. 1991. Risk Theory with the Gamma Process. ASTIN Bulletin 21(2): 177-92.
    • (1991) ASTIN Bulletin , vol.21 , Issue.2 , pp. 177-192
    • Dufresne, F.O.1    Gerber, H.U.2    Shiu, E.S.W.3
  • 14
    • 63449133985 scopus 로고    scopus 로고
    • Risk Processes Perturbed by a -Stable Lévy Motion
    • Furrer, Hansjörg J. 1998. Risk Processes Perturbed by a -Stable Lévy Motion. Scandinavian Actuarial Journal (1): 59-74.
    • (1998) Scandinavian Actuarial Journal , Issue.1 , pp. 59-74
    • Furrer, H.J.1
  • 15
    • 0031591894 scopus 로고    scopus 로고
    • Stable Lévy Motion Approximation in Collective Risk Theory
    • Furrer, Hansjörg J., Zbigniew Michna, and Aleksander Weron. 1997. Stable Lévy Motion Approximation in Collective Risk Theory. Insurance: Mathematics and Economics 20(2): 97-114.
    • (1997) Insurance: Mathematics and Economics , vol.20 , Issue.2 , pp. 97-114
    • Furrer, H.J.1    Michna, Z.2    Weron, A.3
  • 16
    • 0015280761 scopus 로고
    • Games of Economic Survival with Discrete-and Continuous-Income Processes
    • Gerber, Hans U. 1972. Games of Economic Survival with Discrete-and Continuous-Income Processes. Operations Research 20(1): 37-45.
    • (1972) Operations Research , vol.20 , Issue.1 , pp. 37-45
    • Gerber, H.U.1
  • 17
    • 0032113775 scopus 로고    scopus 로고
    • On a Discounted Penalty at Ruin in a Jump-Diffusion and the Perpetual Put Option
    • Gerber, Hans U., and Bruno Landry. 1998. On a Discounted Penalty at Ruin in a Jump-Diffusion and the Perpetual Put Option. Insurance: Mathematics and Economics 22(3): 263-76.
    • (1998) Insurance: Mathematics and Economics , vol.22 , Issue.3 , pp. 263-276
    • Gerber, H.U.1    Landry, B.2
  • 18
    • 0031573355 scopus 로고    scopus 로고
    • The Joint Distribution of the Time of Ruin, the Surplus Immediately before Ruin, and the Deficit at Ruin
    • Gerber, Hans U., and Elias S. W. Shiu. 1997. The Joint Distribution of the Time of Ruin, the Surplus Immediately before Ruin, and the Deficit at Ruin. Insurance: Mathematics and Economics 21(2): 129-37.
    • (1997) Insurance: Mathematics and Economics , vol.21 , Issue.2 , pp. 129-137
    • Gerber, H.U.1    Shiu, E.S.W.2
  • 20
    • 85011209680 scopus 로고    scopus 로고
    • Pricing Perpetual Options for Jump Processes
    • Gerber, Hans U., and Elias S. W. Shiu. 1998b. Pricing Perpetual Options for Jump Processes. North American Actuarial Journal 2(3): 101-12.
    • (1998) North American Actuarial Journal , vol.2 , Issue.3 , pp. 101-112
    • Gerber, H.U.1    Shiu, E.S.W.2
  • 21
    • 0004243930 scopus 로고
    • Springer Series in Statistics. New York: Springer
    • Grandell, Jan. 1991. Aspects of Risk Theory. Springer Series in Statistics. New York: Springer.
    • (1991) Aspects of Risk Theory
    • Grandell1
  • 22
    • 18244393532 scopus 로고    scopus 로고
    • Ruin Probabilities and Decompositions for General Perturbed Risk Processes
    • Huzak, Miljenko, Mihael Perman, Hrvoje Sikić, and Zoran Vondracek. 2004. Ruin Probabilities and Decompositions for General Perturbed Risk Processes. Annals of Applied Probability 14(3): 1378-97.
    • (2004) Annals of Applied Probability , vol.14 , Issue.3 , pp. 1378-1397
    • Huzak, M.1    Perman, M.2    Sikić, H.3    Vondracek, Z.4
  • 25
    • 26844542054 scopus 로고    scopus 로고
    • Ruin Probabilities and Overshoots for General Lévy Insurance Risk Processes
    • Klüppelberg, Claudia, Andreas E. Kyprianou, and Ross A. Maller. 2004. Ruin Probabilities and Overshoots for General Lévy Insurance Risk Processes. Annals of Applied Probability 14(4): 1766-1801.
    • (2004) Annals of Applied Probability , vol.14 , Issue.4 , pp. 1766-1801
    • Klüppelberg, C.1    Kyprianou, R.E.2    Maller, R.A.3
  • 26
    • 0002895230 scopus 로고    scopus 로고
    • The Variance Gamma Process and Option Pricing
    • Madan, Dilip B., Peter Carr, and Eric C. Chang. 1998. The Variance Gamma Process and Option Pricing. European Finance Review 2(1): 79-105.
    • (1998) European Finance Review , vol.2 , Issue.1 , pp. 79-105
    • Madan, D.B.1    Carr, P.2    Chang, E.C.3
  • 27
    • 85011514505 scopus 로고    scopus 로고
    • Risk Theory with the Generalized Inverse Gaussian Lévy Process
    • Morales, Manuel. 2004. Risk Theory with the Generalized Inverse Gaussian Lévy Process. ASTIN Bulletin 34(2): 361-77.
    • (2004) ASTIN Bulletin , vol.34 , Issue.2 , pp. 361-377
    • Morales, M.1
  • 29
    • 77955147792 scopus 로고    scopus 로고
    • Approximations for the Deficit at Ruin and the Mean Ruin Time in the Classical Poisson Model
    • September 22-24, 2005
    • Politis, Konstadinos, and Susan M. Pitts. 2005. Approximations for the Deficit at Ruin and the Mean Ruin Time in the Classical Poisson Model. In Proceedings of HERCMA 2005, Athens, Greece, September 22-24, 2005.
    • (2005) Proceedings of HERCMA 2005, Athens, Greece
    • Politis, K.1    Pitts, S.M.2
  • 31
    • 0035272526 scopus 로고    scopus 로고
    • Spectrally Negative Lévy Processes with Applications in Risk Theory
    • Yang, Hailiang, and Lianzeng Zhang. 2001. Spectrally Negative Lévy Processes with Applications in Risk Theory. Advances in Applied Probability 33(1): 281-91.
    • (2001) Advances in Applied Probability , vol.33 , Issue.1 , pp. 281-291
    • Yang, H.1    Zhang, L.2
  • 32
    • 0000904438 scopus 로고
    • The First Passage Time of a Level and the Behavior at Infinity for a Class of Processes with Independent Increments
    • Zoloratev, Vladimir M. 1964. The First Passage Time of a Level and the Behavior at Infinity for a Class of Processes with Independent Increments. Theory of Probability and Its Applications 9(4): 653-62.
    • (1964) Theory of Probability and Its Applications , vol.9 , Issue.4 , pp. 653-662
    • Zoloratev, V.M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.