Universität zu Köln

Schmidli, Hanspeter ORCID: 0000-0001-6404-078X (2015). Extended Gerber-Shiu functions in a risk model with interest. Insur. Math. Econ., 61. S. 271 - 276. AMSTERDAM: ELSEVIER. ISSN 1873-5959

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Abstract

We consider a compound Poisson risk model with interest. The Gerber-Shiu discounted penalty function is modified with an additional penalty for reaching a level above the initial capital. We show that the problem can be split into two independent problems; an original Gerber-Shiu function and a first passage problem. We also consider the case of negative interest. Finally, we apply the results to a model considered by Embrechts and Schmidli (1994). (C) 2015 Elsevier B.V. All rights reserved.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Schmidli, Hanspeter UNSPECIFIED orcid.org/0000-0001-6404-078X UNSPECIFIED
URN:	urn:nbn:de:hbz:38-406869
DOI:	10.1016/j.insmatheco.2015.01.012
Journal or Publication Title:	Insur. Math. Econ.
Volume:	61
Page Range:	S. 271 - 276
Date:	2015
Publisher:	ELSEVIER
Place of Publication:	AMSTERDAM
ISSN:	1873-5959
Language:	English
Faculty:	Faculty of Mathematics and Natural Sciences
Divisions:	Faculty of Mathematics and Natural Sciences > Department of Mathematics and Computer Science > Mathematical Institute
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language RUIN Multiple languages Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/40686