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On the Expected Discounted Penalty Function Using Physics-Informed Neural Network
Journal of Mathematics, 2023 We study the expected discounted penalty at ruin under a stochastic discount rate for the compound Poisson risk model with a threshold dividend strategy. The discount rate is modeled by a Poisson process and a standard Brownian motion.
Jiayu Wang, Houchun Wang
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Estimating the Gerber-Shiu Expected Discounted Penalty Function for Lévy Risk Model [PDF]
Discrete Dynamics in Nature and Society, 2019 This paper studies the statistical estimation of the Gerber-Shiu discounted penalty functions in a general spectrally negative Lévy risk model. Suppose that the claims process and the surplus process can be observed at a sequence of discrete time points.
Yujuan Huang +3 more
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On the Expected Discounted Penalty Function for a Markov Regime-Switching Insurance Risk Model with Stochastic Premium Income [PDF]
Discrete Dynamics in Nature and Society, 2013 We consider a Markovian regime-switching risk model (also called the Markov-modulated risk model) with stochastic premium income, in which the premium income and the claim occurrence are driven by the Markovian regime-switching process.
Wenguang Yu
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Estimating the Expected Discounted Penalty Function in a Compound Poisson Insurance Risk Model with Mixed Premium Income [PDF]
Mathematics, 2019 In this paper, we consider an insurance risk model with mixed premium income, in which both constant premium income and stochastic premium income are considered.
Yunyun Wang +4 more
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Journal of Applied Mathematics, 2014 We focus on the expected discounted penalty function of a compound Poisson risk model with random incomes and potentially delayed claims. It is assumed that each main claim will produce a byclaim with a certain probability and the occurrence of the ...
Huiming Zhu +3 more
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Recursive Approaches for Multi-Layer Dividend Strategies in a Phase-Type Renewal Risk Model
Risks, 2022 In this paper we consider a risk model with two independent classes of insurance risks in the presence of a multi-layer dividend strategy. We assume that both of the claim number processes are renewal processes with phase-type inter-arrival times.
Apostolos D. Papaioannou, Lewis Ramsden
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Generalized expected discounted penalty function at general drawdown for Lévy risk processes [PDF]
Insurance: Mathematics and Economics, 2020 This paper considers an insurance surplus process modeled by a spectrally negative L vy process. Instead of the time of ruin in the traditional setting, we apply the time of drawdown as the risk indicator in this paper. We study the joint distribution of the time of drawdown, the running maximum at drawdown, the last minimum before drawdown, the ...
Wang, Wenyuan, Chen, Ping, Li, Shuanming
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A Note on a Modified Parisian Ruin Concept
Risks, 2023 Traditionally, Parisian ruin is said to occur when the insurer’s surplus process has stayed below level zero continuously for a certain grace period. Inspired by this concept, in this paper we propose a modification by assuming that once a grace period ...
Eric C. K. Cheung, Jeff T. Y. Wong
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On The Expected Discounted Penalty function for Lévy Risk Processes [PDF]
North American Actuarial Journal, 2006 Abstract Dufresne et al. (1991) introduced a general risk model defined as the limit of compound Poisson processes. Such a model is either a compound Poisson process itself or a process with an infinite number of small jumps. Later, in a series of now classical papers, the joint distribution of the time of ruin, the surplus before ruin, and the deficit
José Garrido, Manuel Morales
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Numerical Method for a Perturbed Risk Model with Proportional Investment
Mathematics, 2022 In this paper, we study the perturbed risk model with a threshold dividend strategy and proportional investment. The insurance companies are allowed to invest their surplus in a financial market consisting of a risk-free asset and a risky asset in fixed ...
Chunwei Wang, Naidan Deng, Silian Shen
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