Results 1 to 10 of about 5,202,947 (149)
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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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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Multi-Objective Optimization of Dental Implant Designs With Multi-Recessed Holes: Insights From Static and Dynamic Finite Element Analysis. [PDF]
Int J Numer Method Biomed EngA novel dental implant with multi‐recessed holes was optimized using FEA and advanced multi‐objective techniques. The design achieved a 28.1% increase in fatigue safety and a 37.1% reduction in micromotion, demonstrating enhanced structural integrity and osseointegration under static and dynamic loads.
Chou IC +6 more
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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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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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Do pension buyouts help or hurt employees (retirees)?
Journal of Risk and Insurance, Volume 90, Issue 3, Page 667-702, September 2023., 2023 Abstract This article compares expected pension default losses of employees and retirees before and after pension buyouts. The comparisons are made using a stochastic model calibrated with market data. The analysis shows that the lower protection level provided by the State Guarantee Association relative to that of the Pension Benefit Guaranty ...
Yijia Lin +2 more
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Journal of Futures Markets, Volume 43, Issue 7, Page 925-950, July 2023., 2023 Abstract The hedging of European contingent claims in a continuous‐time hidden Markov‐regime‐switching diffusion model is discussed using stochastic flows of diffeomorphisms and Monte‐Carlo simulations. Specifically, the price dynamics of an underlying risky asset are governed by a continuous‐time hidden Markov‐modulated local‐volatility model ...
Robert J. Elliott, Tak Kuen Siu
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Scandinavian Journal of Statistics, Volume 50, Issue 2, Page 638-664, June 2023., 2023 Abstract Continuous‐time autoregressive processes have been applied successfully in many fields and are particularly advantageous in the modeling of irregularly spaced or high‐frequency time series data. A convenient nonlinear extension of this model are continuous‐time threshold autoregressions (CTAR).
Daniel Lingohr, Gernot Müller
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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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