Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models

By Eric C. K. Cheung, David Landriault, Gordon E. Willmot, Jae-Kyung Woo. 2010

89 citations recorded by the source corpus.

Subfields: Demography, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/254ab219fcb802bdeb72ed26078c0ec41de33b80

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Eric C. K. Cheung
2. Hansjörg Albrecher *
3. Andrei L. Badescu
4. Stefan Thonhauser
5. David Landriault
6. Ronnie Loeffen
7. Xiaowen Zhou
8. Hailiang Yang

In Management Science and Operations Research

1. Eric C. K. Cheung
2. Hansjörg Albrecher *
3. Andrei L. Badescu
4. Stefan Thonhauser
5. David Landriault
6. Ronnie Loeffen
7. Xiaowen Zhou
8. Hailiang Yang

In Statistics and Probability

1. Eric C. K. Cheung
2. Stefan Thonhauser
3. Hansjörg Albrecher *
4. Andrei L. Badescu
5. David Landriault

Citations in the corpus

• Randomized observation periods for the compound Poisson risk model: the discounted penalty function (2013, background): “…after the second-last claim before ruin in the aforementioned dependent Sparre Andersen risk model (see Badescu et al. (2009), Section 5; Cheung et al. 2010a), various structural properties derived in Cheung et al. (2010b) can be applied to the study of md(x), and at the same time help…”
• Dependent Risk Models with Bivariate Phase-Type Distributions (2009, background): “This class of risk models is of special interest given that some essential properties of the Sparre Andersen risk model are preserved (see Cheung et al. (2009) for more details).”