Stochastic Processes for Insurance and Finance offers a thorough yet accessible reference
for researchers and practitioners of insurance mathematics. Building on recent and rapid …

The classical compound Poisson risk model is considered in the presence of a constant
dividend barrier. An integro-differential equation for the Gerber–Shiu discounted penalty …

We consider the jump-diffusion that is obtained if an independent Wiener process is added
to the surplus process of classical ruin theory. In this model, we examine the expected …

In this paper we extend the results in Lin and Willmot (1999 Insurance: Mathematics and
Economics 25, 63–84) to properties related to the joint and marginal moments of the time of …

This paper studies in detail the solution of a defective renewal equation which involves the
time of ruin, the surplus immediately before ruin, and the deficit at the time of ruin. The …

The distribution of the surplus immediately prior to ruin in the classical compound Poisson
risk model was considered in a paper by Dufresne and Gerber (1988). The main purpose of …

In this paper, we extend the concept of ruin in risk theory to the Parisian type of ruin. For this
to occur, the surplus process must fall below zero and stay negative for a continuous time …

In this paper we present a stable recursive algorithm for the calculation of the probability of
ultimate ruin in the classical risk model. We also present stable recursive algorithms for the …

In this paper, we derive explicit expressions for the discounted joint and marginal distribution
functions of the surplus immediately prior to the time of ruin and the deficit at the time of ruin …

In many circumstances the ruin of an insurance company is not definitive and this company
can be rescued when its ruin is not too severe. This possibility of recovery depends on the …