In this paper, we consider the Gerber-Shiu expected discounted penalty function for the perturbed compound Poisson risk process with constant force of interest. We decompose the Gerber-Shiu function into two parts: the expected discounted penalty at ruin that is caused by a claim and the...

Consider an insurer who is allowed to make risk-free and risky investments. The price process of the investment portfolio is described as a geometric Lévy process. We study the tail probability of the stochastic present value of future aggregate claims. When the claim-size distribution is of...

Reduced form credit risk models are important ones in credit risk theory. In such a model, certain correlated relations are constructed to represent the default dependence structure among the default intensity processes. In this paper, we introduced a reduced form credit risk model in which the...