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 …

The optimal dividend problem goes back to a paper that Bruno De Finetti presented to the
International Congress of Actuaries in New York (1957). For a stock company that pays …

We consider an extension to the classical compound Poisson risk model for which the
increments of the aggregate claim amount process are independent. In Albrecher and …

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 …

In the framework of the classical compound Poisson process in collective risk theory, we
study a modification of the horizontal dividend barrier strategy by introducing random …

This paper investigates the first passage times to flat boundaries for hyper-exponential jump
(diffusion) processes. Explicit solutions of the Laplace transforms of the distribution of the …

We consider a compound renewal (Sparre Andersen) risk process in the presence of a
constant dividend barrier in which the claim waiting times are generalized Erlang (n) …

We present a unified approach to the analysis of several popular models in collective risk
theory. Based on the analysis of the discounted penalty function in a semi-Markovian risk …

A wide variety of distributions are shown to be of mixed-Erlang type. Useful computational
formulas result for many quantities of interest in a risk-theoretic context when the claim size …