On a Fractional Stochastic Risk Model with a Random Initial Surplus and a Multi-Layer Strategy
Mathematics, 2022 The paper deals with a fractional time-changed stochastic risk model, including stochastic premiums, dividends and also a stochastic initial surplus as a capital derived from a previous investment.
Enrica Pirozzi
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A Note on a Generalized Gerber–Shiu Discounted Penalty Function for a Compound Poisson Risk Model
Mathematics, 2019 In this paper, we propose a new generalized Gerber−Shiu discounted penalty function for a compound Poisson risk model, which can be used to study the moments of the ruin time.
Jiechang Ruan +5 more
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Fourier-cosine method for Gerber-Shiu functions [PDF]
, 2015 In this article, we provide a systematic study on effectively approximating the Gerber–Shiu functions, which is a hardly touched topic in the current literature, by incorporating the recently popular Fourier-cosine method.
Chau, KW, Yam, SCP, Yang, H
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On a Periodic Capital Injection and Barrier Dividend Strategy in the Compound Poisson Risk Model
Mathematics, 2020 In this paper, we assume that the reserve level of an insurance company can only be observed at discrete time points, then a new risk model is proposed by introducing a periodic capital injection strategy and a barrier dividend strategy into the ...
Wenguang Yu +8 more
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On a discrete-time risk model with delayed claims and dividends [PDF]
, 2013 In this paper, we study the discounted free Gerber–Shiu function for the compound binomial risk model with by-claims and randomized dividend policy. Specifically, explicit expression for the discounted free Gerber–Shiu function is obtained.
Li, J, Wu, R, Yuen, KC
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On the joint analysis of the total discounted payments to policyholders and shareholders: Threshold dividend strategy [PDF]
, 2016 In insurance risk theory, dividend and aggregate claim amount are of great research interest as they represent the insurance company's payments to its shareholders and policyholders respectively.
Cheung, ECK, Liu, H
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On a class of stochastic models with two-sided jumps [PDF]
, 2011 In this paper a stochastic process involving two-sided jumps and a continuous downward drift is studied. In the context of ruin theory, the model can be interpreted as the surplus process of a business enterprise which is subject to constant expense rate
Cheung, ECK
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A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium [PDF]
, 2011 In a general Sparre Andersen risk model with surplus-dependent premium income, the generalization of Gerber-Shiu function proposed by Cheung et al. (2010a) is studied.
Cheung, ECK
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Advances in Difference Equations, 2021 In this paper, we model the insurance company’s surplus by a compound Poisson risk model, where the surplus process can only be observed at random observation times.
Wenguang Yu +5 more
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On a Risk Model with Surplus-dependent Premium and Tax Rates [PDF]
, 2012 In this paper, the compound Poisson risk model with surplus-dependent premium rate is analyzed in the taxation system proposed by Albrecher and Hipp (Blätter der DGVFM 28(1):13-28, 2007).
Cheung, ECK, Landriault, D
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