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 unified probabilistic approach to analyze a wide class of
insurance risk models in a ruin theoretical context. Contrary to the traditional analytic …

In this paper we consider an extension of the two-dimensional risk model introduced in
Avram, Palmowski and Pistorius (2008a). To this end, we assume that there are two …

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) …

In this paper, we revisit the finite-time ruin probability in the classical compound Poisson risk
model. Traditional general solutions to finite-time ruin problems are usually expressed in …

We consider an insurer who has a fixed amount of funds allocated as the initial surplus for a
risk portfolio, so that the probability of ultimate ruin for this portfolio is at a known level. We …

Recent research into the nature of the distribution of the time of ruin in some Sparre
Andersen risk models has resulted in series expansions for the associated density function …

In this paper, a risk model where claims arrive according to a Markovian arrival process
(MAP) is considered. A generalization of the well-known Gerber–Shiu function is proposed …

A generalization of the usual penalty function is proposed, and a defective renewal equation
is derived for the Gerber–Shiu discounted penalty function in the classical risk model. This is …

In this article, we consider a risk process with deterministic growth and prorated losses to
model the capital of a household. Our work focuses on the analysis of the trapping time of …