On the Joint Analysis of the Total Discounted Payments to Policyholders and Shareholders: Dividend Barrier Strategy [PDF]
Risks, 2015 In the compound Poisson insurance risk model under a dividend barrier strategy, this paper aims to analyze jointly the aggregate discounted claim amounts until ruin and the total discounted dividends until ruin, which represent the insurer’s payments to ...
Eric C.K. Cheung +2 more
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The Gerber-Shiu Expected Penalty Function for the Risk Model with Dependence and a Constant Dividend Barrier [PDF]
Abstract and Applied Analysis, 2014 We consider a compound Poisson risk model with dependence and a constant dividend barrier. A dependence structure between the claim amount and the interclaim time is introduced through a Farlie-Gumbel-Morgenstern copula.
Donghai Liu, Zaiming Liu, Dan Peng
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Convexity of ruin probability and optimal dividend strategies for a general Levy process [PDF]
ScientificWorldJournal, 2014 In this paper, we consider the optimal dividends problem for a company whose cash reserves follow a general Levy process with certain positive jumps and arbitrary negative jumps.
Shen, Ying +2 more
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The risk model with stochastic premiums, dependence and a threshold dividend strategy
Modern Stochastics: Theory and Applications, 2017 The paper deals with a generalization of the risk model with stochastic premiums where dependence structures between claim sizes and inter-claim times as well as premium sizes and inter-premium times are modeled by Farlie–Gumbel–Morgenstern copulas.
Olena Ragulina
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International Journal of Mathematics for Industry, 2023 This paper studies the Gerber–Shiu function for the insurance surplus process with additional investment under the Bachelier model. The Gerber–Shiu function allows us to study the moments of the time of ruin, which is the first time that the surplus is ...
Sutipon Punaluek, Yuri Imamura
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A Note on Gerber–Shiu Function with Delayed Claim Reporting under Constant Force of Interest
Mathematical and Computational Applications, 2022 In this paper, we analyze the Gerber–Shiu discounted penalty function for a constant interest rate in delayed claim reporting times. Using the Poisson claim arrival scenario, we derive the differential equation of the Laplace transform of the generalized
Kokou Essiomle, Franck Adekambi
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Estimating the Gerber-Shiu Function in Lévy Insurance Risk Model by Fourier-Cosine Series Expansion
Mathematics, 2021 In this paper, we propose an estimator for the Gerber–Shiu function in a pure-jump Lévy risk model when the surplus process is observed at a high frequency.
Wen Su, Yunyun Wang
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Estimating the Gerber–Shiu Function in the Two-Sided Jumps Risk Model by Laguerre Series Expansion
Mathematics, 2023 In this paper, we consider an insurance risk model with two-sided jumps, where downward and upward jumps typically represent claim amounts and random gains, respectively. We use the Laguerre series to expand the Gerber–Shiu function and estimate it based
Kang Hu, Ya Huang, Yingchun Deng
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Asymptotically Normal Estimators of the Gerber-Shiu Function in Classical Insurance Risk Model
Mathematics, 2020 Nonparametric estimation of the Gerber-Shiu function is a popular topic in insurance risk theory. Zhang and Su (2018) proposed a novel method for estimating the Gerber-Shiu function in classical insurance risk model by Laguerre series expansion based on ...
Wen Su, Wenguang Yu
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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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