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 …

The structure of various Gerber–Shiu functions in Sparre Andersen models allowing for
possible dependence between claim sizes and interclaim times is examined. The penalty …

In this paper we consider an extension of the Sparre Andersen insurance risk model by
relaxing one of its independence assumptions. The newly proposed dependence structure …

Inspired by some works of Kirkby, JL [2015. Efficient option pricing by frame duality with the
fast Fourier transform. SIAM Journal on Financial Mathematics 6 (1), 713–747; 2016. An …

Abstract We investigate the Gerber-Shiu discounted penalty function for Markov-modulated
Lévy risk processes with random incomes. Firstly, we consider the case when the downward …

In this article, we provide the first systematic numerical study on, via the popular Fourier-
cosine (COS) method, finite-time Gerber--Shiu functions with the risk process being driven …

This monograph is a summary of our view of the current state of the art with respect to the
analysis of surplus and ruin-theoretic analysis for the class of Sparre Andersen (renewal) …

We introduce an algebraic operator framework to study discounted penalty functions in
renewal risk models. For inter-arrival and claim size distributions with rational Laplace …

In this article, we provide a systematic study on effectively approximating the Gerber–Shiu
functions, which is a hardly touched topic in the current literature, by incorporating the …

In this paper we develop a symbolic technique to obtain asymptotic expressions for ruin
probabilities and discounted penalty functions in renewal insurance risk models when the …