Gerber-Shiu Function for a Class of Markov-Modulated Lévy Risk Processes with Two-Sided Jumps

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 and upward jumps (respectively, claims and random gains) are given by independent compound Poisson processes, with claim s...
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Autor*in:	Martín-González, Ehyter Matías [verfasserIn] Murillo-Salas, Antonio Pantí, Henry

Format:	E-Artikel
Sprache:	Englisch

Erschienen:	2022

Schlagwörter:	Gerber-Shiu function Lévy risk processes Markov-modulated processes Subordinator Spectrally positive Lévy processes Random gains Risk processes in random environments

Anmerkung:	© The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2022

Übergeordnetes Werk:	Enthalten in: Methodology and computing in applied probability - Dordrecht [u.a.] : Springer Science + Business Media B.V, 1999, 24(2022), 4 vom: 30. Apr., Seite 2779-2800
Übergeordnetes Werk:	volume:24 ; year:2022 ; number:4 ; day:30 ; month:04 ; pages:2779-2800

Links:	Volltext

DOI / URN:	10.1007/s11009-022-09954-1

Katalog-ID:	SPR048964352

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520			\|a 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 and upward jumps (respectively, claims and random gains) are given by independent compound Poisson processes, with claim sizes with a general distribution function and gains in such a way that their distribution has a rational Laplace transform. Afterwards, we use the above results and weak convergence techniques to study the case when the claims are given by a subordinator and, subsequently, we establish results when the claims are governed by a pure spectrally positive Lévy jump process. Some numerical examples are presented in order to illustrate our results.
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912			\|a GBV_ILN_138
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912			\|a GBV_ILN_151
912			\|a GBV_ILN_152
912			\|a GBV_ILN_161
912			\|a GBV_ILN_170
912			\|a GBV_ILN_171
912			\|a GBV_ILN_187
912			\|a GBV_ILN_213
912			\|a GBV_ILN_224
912			\|a GBV_ILN_230
912			\|a GBV_ILN_250
912			\|a GBV_ILN_281
912			\|a GBV_ILN_285
912			\|a GBV_ILN_293
912			\|a GBV_ILN_370
912			\|a GBV_ILN_602
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912			\|a GBV_ILN_2007
912			\|a GBV_ILN_2008
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912			\|a GBV_ILN_2011
912			\|a GBV_ILN_2014
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912			\|a GBV_ILN_2020
912			\|a GBV_ILN_2021
912			\|a GBV_ILN_2025
912			\|a GBV_ILN_2026
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912			\|a GBV_ILN_2034
912			\|a GBV_ILN_2037
912			\|a GBV_ILN_2038
912			\|a GBV_ILN_2039
912			\|a GBV_ILN_2044
912			\|a GBV_ILN_2048
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912			\|a GBV_ILN_2050
912			\|a GBV_ILN_2055
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912			\|a GBV_ILN_2061
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912			\|a GBV_ILN_2068
912			\|a GBV_ILN_2088
912			\|a GBV_ILN_2093
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912			\|a GBV_ILN_2107
912			\|a GBV_ILN_2108
912			\|a GBV_ILN_2110
912			\|a GBV_ILN_2111
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912			\|a GBV_ILN_2113
912			\|a GBV_ILN_2118
912			\|a GBV_ILN_2122
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allfields	10.1007/s11009-022-09954-1 doi (DE-627)SPR048964352 (SPR)s11009-022-09954-1-e DE-627 ger DE-627 rakwb eng Martín-González, Ehyter Matías verfasserin aut Gerber-Shiu Function for a Class of Markov-Modulated Lévy Risk Processes with Two-Sided Jumps 2022 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2022 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 and upward jumps (respectively, claims and random gains) are given by independent compound Poisson processes, with claim sizes with a general distribution function and gains in such a way that their distribution has a rational Laplace transform. Afterwards, we use the above results and weak convergence techniques to study the case when the claims are given by a subordinator and, subsequently, we establish results when the claims are governed by a pure spectrally positive Lévy jump process. Some numerical examples are presented in order to illustrate our results. Gerber-Shiu function (dpeaa)DE-He213 Lévy risk processes (dpeaa)DE-He213 Markov-modulated processes (dpeaa)DE-He213 Subordinator (dpeaa)DE-He213 Spectrally positive Lévy processes (dpeaa)DE-He213 Random gains (dpeaa)DE-He213 Risk processes in random environments (dpeaa)DE-He213 Murillo-Salas, Antonio aut Pantí, Henry aut Enthalten in Methodology and computing in applied probability Dordrecht [u.a.] : Springer Science + Business Media B.V, 1999 24(2022), 4 vom: 30. Apr., Seite 2779-2800 (DE-627)320427412 (DE-600)2003336-9 1573-7713 nnns volume:24 year:2022 number:4 day:30 month:04 pages:2779-2800 https://dx.doi.org/10.1007/s11009-022-09954-1 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_101 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 AR 24 2022 4 30 04 2779-2800
spelling	10.1007/s11009-022-09954-1 doi (DE-627)SPR048964352 (SPR)s11009-022-09954-1-e DE-627 ger DE-627 rakwb eng Martín-González, Ehyter Matías verfasserin aut Gerber-Shiu Function for a Class of Markov-Modulated Lévy Risk Processes with Two-Sided Jumps 2022 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2022 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 and upward jumps (respectively, claims and random gains) are given by independent compound Poisson processes, with claim sizes with a general distribution function and gains in such a way that their distribution has a rational Laplace transform. Afterwards, we use the above results and weak convergence techniques to study the case when the claims are given by a subordinator and, subsequently, we establish results when the claims are governed by a pure spectrally positive Lévy jump process. Some numerical examples are presented in order to illustrate our results. Gerber-Shiu function (dpeaa)DE-He213 Lévy risk processes (dpeaa)DE-He213 Markov-modulated processes (dpeaa)DE-He213 Subordinator (dpeaa)DE-He213 Spectrally positive Lévy processes (dpeaa)DE-He213 Random gains (dpeaa)DE-He213 Risk processes in random environments (dpeaa)DE-He213 Murillo-Salas, Antonio aut Pantí, Henry aut Enthalten in Methodology and computing in applied probability Dordrecht [u.a.] : Springer Science + Business Media B.V, 1999 24(2022), 4 vom: 30. Apr., Seite 2779-2800 (DE-627)320427412 (DE-600)2003336-9 1573-7713 nnns volume:24 year:2022 number:4 day:30 month:04 pages:2779-2800 https://dx.doi.org/10.1007/s11009-022-09954-1 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_101 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 AR 24 2022 4 30 04 2779-2800
allfields_unstemmed	10.1007/s11009-022-09954-1 doi (DE-627)SPR048964352 (SPR)s11009-022-09954-1-e DE-627 ger DE-627 rakwb eng Martín-González, Ehyter Matías verfasserin aut Gerber-Shiu Function for a Class of Markov-Modulated Lévy Risk Processes with Two-Sided Jumps 2022 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2022 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 and upward jumps (respectively, claims and random gains) are given by independent compound Poisson processes, with claim sizes with a general distribution function and gains in such a way that their distribution has a rational Laplace transform. Afterwards, we use the above results and weak convergence techniques to study the case when the claims are given by a subordinator and, subsequently, we establish results when the claims are governed by a pure spectrally positive Lévy jump process. Some numerical examples are presented in order to illustrate our results. Gerber-Shiu function (dpeaa)DE-He213 Lévy risk processes (dpeaa)DE-He213 Markov-modulated processes (dpeaa)DE-He213 Subordinator (dpeaa)DE-He213 Spectrally positive Lévy processes (dpeaa)DE-He213 Random gains (dpeaa)DE-He213 Risk processes in random environments (dpeaa)DE-He213 Murillo-Salas, Antonio aut Pantí, Henry aut Enthalten in Methodology and computing in applied probability Dordrecht [u.a.] : Springer Science + Business Media B.V, 1999 24(2022), 4 vom: 30. Apr., Seite 2779-2800 (DE-627)320427412 (DE-600)2003336-9 1573-7713 nnns volume:24 year:2022 number:4 day:30 month:04 pages:2779-2800 https://dx.doi.org/10.1007/s11009-022-09954-1 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_101 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 AR 24 2022 4 30 04 2779-2800
allfieldsGer	10.1007/s11009-022-09954-1 doi (DE-627)SPR048964352 (SPR)s11009-022-09954-1-e DE-627 ger DE-627 rakwb eng Martín-González, Ehyter Matías verfasserin aut Gerber-Shiu Function for a Class of Markov-Modulated Lévy Risk Processes with Two-Sided Jumps 2022 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2022 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 and upward jumps (respectively, claims and random gains) are given by independent compound Poisson processes, with claim sizes with a general distribution function and gains in such a way that their distribution has a rational Laplace transform. Afterwards, we use the above results and weak convergence techniques to study the case when the claims are given by a subordinator and, subsequently, we establish results when the claims are governed by a pure spectrally positive Lévy jump process. Some numerical examples are presented in order to illustrate our results. Gerber-Shiu function (dpeaa)DE-He213 Lévy risk processes (dpeaa)DE-He213 Markov-modulated processes (dpeaa)DE-He213 Subordinator (dpeaa)DE-He213 Spectrally positive Lévy processes (dpeaa)DE-He213 Random gains (dpeaa)DE-He213 Risk processes in random environments (dpeaa)DE-He213 Murillo-Salas, Antonio aut Pantí, Henry aut Enthalten in Methodology and computing in applied probability Dordrecht [u.a.] : Springer Science + Business Media B.V, 1999 24(2022), 4 vom: 30. Apr., Seite 2779-2800 (DE-627)320427412 (DE-600)2003336-9 1573-7713 nnns volume:24 year:2022 number:4 day:30 month:04 pages:2779-2800 https://dx.doi.org/10.1007/s11009-022-09954-1 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_101 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 AR 24 2022 4 30 04 2779-2800
allfieldsSound	10.1007/s11009-022-09954-1 doi (DE-627)SPR048964352 (SPR)s11009-022-09954-1-e DE-627 ger DE-627 rakwb eng Martín-González, Ehyter Matías verfasserin aut Gerber-Shiu Function for a Class of Markov-Modulated Lévy Risk Processes with Two-Sided Jumps 2022 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2022 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 and upward jumps (respectively, claims and random gains) are given by independent compound Poisson processes, with claim sizes with a general distribution function and gains in such a way that their distribution has a rational Laplace transform. Afterwards, we use the above results and weak convergence techniques to study the case when the claims are given by a subordinator and, subsequently, we establish results when the claims are governed by a pure spectrally positive Lévy jump process. Some numerical examples are presented in order to illustrate our results. Gerber-Shiu function (dpeaa)DE-He213 Lévy risk processes (dpeaa)DE-He213 Markov-modulated processes (dpeaa)DE-He213 Subordinator (dpeaa)DE-He213 Spectrally positive Lévy processes (dpeaa)DE-He213 Random gains (dpeaa)DE-He213 Risk processes in random environments (dpeaa)DE-He213 Murillo-Salas, Antonio aut Pantí, Henry aut Enthalten in Methodology and computing in applied probability Dordrecht [u.a.] : Springer Science + Business Media B.V, 1999 24(2022), 4 vom: 30. Apr., Seite 2779-2800 (DE-627)320427412 (DE-600)2003336-9 1573-7713 nnns volume:24 year:2022 number:4 day:30 month:04 pages:2779-2800 https://dx.doi.org/10.1007/s11009-022-09954-1 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_101 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 AR 24 2022 4 30 04 2779-2800
language	English
source	Enthalten in Methodology and computing in applied probability 24(2022), 4 vom: 30. Apr., Seite 2779-2800 volume:24 year:2022 number:4 day:30 month:04 pages:2779-2800
sourceStr	Enthalten in Methodology and computing in applied probability 24(2022), 4 vom: 30. Apr., Seite 2779-2800 volume:24 year:2022 number:4 day:30 month:04 pages:2779-2800
format_phy_str_mv	Article
institution	findex.gbv.de
topic_facet	Gerber-Shiu function Lévy risk processes Markov-modulated processes Subordinator Spectrally positive Lévy processes Random gains Risk processes in random environments
isfreeaccess_bool	false
container_title	Methodology and computing in applied probability
authorswithroles_txt_mv	Martín-González, Ehyter Matías @@aut@@ Murillo-Salas, Antonio @@aut@@ Pantí, Henry @@aut@@
publishDateDaySort_date	2022-04-30T00:00:00Z
hierarchy_top_id	320427412
id	SPR048964352
language_de	englisch
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Firstly, we consider the case when the downward and upward jumps (respectively, claims and random gains) are given by independent compound Poisson processes, with claim sizes with a general distribution function and gains in such a way that their distribution has a rational Laplace transform. Afterwards, we use the above results and weak convergence techniques to study the case when the claims are given by a subordinator and, subsequently, we establish results when the claims are governed by a pure spectrally positive Lévy jump process. 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author	Martín-González, Ehyter Matías
spellingShingle	Martín-González, Ehyter Matías misc Gerber-Shiu function misc Lévy risk processes misc Markov-modulated processes misc Subordinator misc Spectrally positive Lévy processes misc Random gains misc Risk processes in random environments Gerber-Shiu Function for a Class of Markov-Modulated Lévy Risk Processes with Two-Sided Jumps
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topic_title	Gerber-Shiu Function for a Class of Markov-Modulated Lévy Risk Processes with Two-Sided Jumps Gerber-Shiu function (dpeaa)DE-He213 Lévy risk processes (dpeaa)DE-He213 Markov-modulated processes (dpeaa)DE-He213 Subordinator (dpeaa)DE-He213 Spectrally positive Lévy processes (dpeaa)DE-He213 Random gains (dpeaa)DE-He213 Risk processes in random environments (dpeaa)DE-He213
topic	misc Gerber-Shiu function misc Lévy risk processes misc Markov-modulated processes misc Subordinator misc Spectrally positive Lévy processes misc Random gains misc Risk processes in random environments
topic_unstemmed	misc Gerber-Shiu function misc Lévy risk processes misc Markov-modulated processes misc Subordinator misc Spectrally positive Lévy processes misc Random gains misc Risk processes in random environments
topic_browse	misc Gerber-Shiu function misc Lévy risk processes misc Markov-modulated processes misc Subordinator misc Spectrally positive Lévy processes misc Random gains misc Risk processes in random environments
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title	Gerber-Shiu Function for a Class of Markov-Modulated Lévy Risk Processes with Two-Sided Jumps
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title_full	Gerber-Shiu Function for a Class of Markov-Modulated Lévy Risk Processes with Two-Sided Jumps
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author_browse	Martín-González, Ehyter Matías Murillo-Salas, Antonio Pantí, Henry
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author-letter	Martín-González, Ehyter Matías
doi_str_mv	10.1007/s11009-022-09954-1
title_sort	gerber-shiu function for a class of markov-modulated lévy risk processes with two-sided jumps
title_auth	Gerber-Shiu Function for a Class of Markov-Modulated Lévy Risk Processes with Two-Sided Jumps
abstract	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 and upward jumps (respectively, claims and random gains) are given by independent compound Poisson processes, with claim sizes with a general distribution function and gains in such a way that their distribution has a rational Laplace transform. Afterwards, we use the above results and weak convergence techniques to study the case when the claims are given by a subordinator and, subsequently, we establish results when the claims are governed by a pure spectrally positive Lévy jump process. Some numerical examples are presented in order to illustrate our results. © The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2022
abstractGer	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 and upward jumps (respectively, claims and random gains) are given by independent compound Poisson processes, with claim sizes with a general distribution function and gains in such a way that their distribution has a rational Laplace transform. Afterwards, we use the above results and weak convergence techniques to study the case when the claims are given by a subordinator and, subsequently, we establish results when the claims are governed by a pure spectrally positive Lévy jump process. Some numerical examples are presented in order to illustrate our results. © The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2022
abstract_unstemmed	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 and upward jumps (respectively, claims and random gains) are given by independent compound Poisson processes, with claim sizes with a general distribution function and gains in such a way that their distribution has a rational Laplace transform. Afterwards, we use the above results and weak convergence techniques to study the case when the claims are given by a subordinator and, subsequently, we establish results when the claims are governed by a pure spectrally positive Lévy jump process. Some numerical examples are presented in order to illustrate our results. © The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2022
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title_short	Gerber-Shiu Function for a Class of Markov-Modulated Lévy Risk Processes with Two-Sided Jumps
url	https://dx.doi.org/10.1007/s11009-022-09954-1
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author2	Murillo-Salas, Antonio Pantí, Henry
author2Str	Murillo-Salas, Antonio Pantí, Henry
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doi_str	10.1007/s11009-022-09954-1
up_date	2024-07-03T22:30:46.845Z
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Gerber-Shiu Function for a Class of Markov-Modulated Lévy Risk Processes with Two-Sided Jumps

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