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 …

Containing a summary of several recent results on Markov-based input modeling in a
coherent notation, this book introduces and compares algorithms for parameter fitting and …

The aim of the paper is to outline the new trends in modern actuarial sciences in order to
help the researchers to find new domains of activity and university professors teaching future …

Consider a continuous-time renewal risk model with a constant force of interest. We assume
that claim sizes and interarrival times correspondingly form a sequence of independent and …

In the framework of collective risk theory, we consider a compound Poisson risk model for
the surplus process where the process (and hence ruin) can only be observed at random …

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 …

Consider a renewal risk model in which claim sizes and inter-arrival times correspondingly
form a sequence of independent and identically distributed random pairs, with each pair …

In this paper, an insurer is allowed to make risk-free and risky investments, and the price
process of the investment portfolio is described as an exponential Lévy process. We study …

In this article, we consider an extension to the renewal or Sparre Andersen risk process by
introducing a dependence structure between the claim sizes and the interclaim times …

The paper considers a renewal risk process in which a given inter-arrival time possibly has
an impact on the size of the resulting claim. Under a fairly general dependency structure …