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 quantitative modeling of complex systems of interacting risks is a fairly recent
development in the financial and insurance industries. Over the past decades, there has …

Consider an insurance surplus process driven by a Lévy subordinator, which is observed at
discrete time points. An estimator of the Gerber–Shiu function is proposed via the empirical …

The idea of taxation in risk process was first introduced by Albrecher, H. & Hipp, C.
Lundberg's risk process with tax. Blätter der DGVFM 28 (1), 13–28, who suggested that a …

A statistical inference for ruin probability from a certain discrete sample of the surplus is
discussed under a spectrally negative Lévy insurance risk. We consider the Laguerre series …

An insurance risk model where claims follow a Markovian arrival process (MArP) is
considered in this paper. It is shown that the expected present value of total operating costs …

The Markov additive process (MAP) has become an increasingly popular modeling tool in
the applied probability literature. In many applications, quantities of interest are represented …

This paper studies a generalization of the Gerber-Shiu expected discounted penalty function
[Gerber and Shiu (1998). On the time value of ruin. North American Actuarial Journal 2 (1) …

In this paper, we consider a spectrally negative Lévy insurance risk process with a barrier-
type dividend strategy. In contrast to the traditional barrier strategy in which dividends are …

A large deviations type approximation to the probability of ruin within a finite time for the
compound Poisson risk process perturbed by diffusion is derived. This approximation is …