Results 21 to 30 of about 5,202,947 (149)
Premium Valuation of the Pension Benefit Guaranty Corporation with Regime Switching
Mathematical Problems in Engineering, Volume 2021, Issue 1, 2021., 2021 The Pension Benefit Guaranty Corporation (PBGC) provides insurance coverage for single‐employer and multiemployer pension plans in private sector. It has played an important role in protecting the retirement security for over 1.5 million people since it was established about half a decade ago.
Peng Li +4 more
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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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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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The Gerber-Shiu discounted penalty function: A review from practical perspectives [PDF]
, 2022 The Gerber-Shiu function provides a unified framework for the evaluation of a variety of risk quantities. Ever since its establishment, it has attracted constantly increasing interests in actuarial science, whereas the conventional research has been ...
Yamazaki, Kazutoshi +3 more
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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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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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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.
Yam, SCP, Chau, KW, Yang, H
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Mathematical Problems in Engineering, Volume 2020, Issue 1, 2020., 2020 Risk measures based on the trading option prices in the market are forward‐looking, such as VIX. We propose a new method combining distorted lognormal distribution with interpolation to price options accurately and then estimate tail risk. Our method can price the option of any strikes between the maximum and the minimum value of strikes in the real ...
Yan Chen +3 more
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Compound Binomial Model with Batch Markovian Arrival Process
Mathematical Problems in Engineering, Volume 2020, Issue 1, 2020., 2020 A compound binomial model with batch Markovian arrival process was studied, and the specific definitions are introduced. We discussed the problem of ruin probabilities. Specially, the recursion formulas of the conditional finite‐time ruin probability are obtained and the numerical algorithm of the conditional finite‐time nonruin probability is proposed.
Fang Jin +3 more
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Threshold Estimation for a Spectrally Negative Lévy Process
Mathematical Problems in Engineering, Volume 2020, Issue 1, 2020., 2020 Consider a spectrally negative Lévy process with unknown diffusion coefficient and Lévy measure and suppose that the high frequency trading data is given. We use the techniques of threshold estimation and regularized Laplace inversion to obtain the estimator of survival probability for a spectrally negative Lévy process.
Honglong You, Chuncun Yin, Wenguang Yu
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