Results 31 to 40 of about 5,202,947 (149)
An Uncertain Alternating Renewal Insurance Risk Model
Mathematical Problems in Engineering, Volume 2020, Issue 1, 2020., 2020 The claim process in an insurance risk model with uncertainty is traditionally described by an uncertain renewal reward process. However, the claim process actually includes two processes, which are called the report process and the payment process, respectively.
Jia Zhai +4 more
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An Optimal Portfolio Problem of DC Pension with Input‐Delay and Jump‐Diffusion Process
Mathematical Problems in Engineering, Volume 2020, Issue 1, 2020., 2020 In this paper, an optimal portfolio control problem of DC pension is studied where the time interval between the implementation of investment behavior and its effectiveness (hereafter input‐delay) is particularly focused. There are two assets available for investment: a risk‐free cash bond and a risky stock with a jump‐diffusion process. And the wealth
Weixiang Xu, Jinggui Gao, Wenguang Yu
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Pricing of Margin Call Stock Loan Based on the FMLS
Mathematical Problems in Engineering, Volume 2020, Issue 1, 2020., 2020 In common stock loan, lenders face the risk that their loans will not be repaid if the stock price falls below loan, which limits the issuance and circulation of stock loans. The empirical test suggests that the log‐return series of stock price in the US market reject the normal distribution and admit instead a subclass of the asymmetric distribution ...
Kaili Xiang +3 more
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The risk model with stochastic premiums and a multi-layer dividend strategy
Modern Stochastics: Theory and Applications, 2019 The paper deals with a generalization of the risk model with stochastic premiums where dividends are paid according to a multi-layer dividend strategy. First of all, we derive piecewise integro-differential equations for the Gerber–Shiu function and the ...
Olena Ragulina
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Numerical Method for a Markov-Modulated Risk Model with Two-Sided Jumps
Abstract and Applied Analysis, 2012 This paper considers a perturbed Markov-modulated risk model with two-sided jumps, where both the upward and downward jumps follow arbitrary distribution. We first derive a system of differential equations for the Gerber-Shiu function.
Hua Dong, Xianghua Zhao
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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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Journal of Futures Markets, Volume 45, Issue 8, Page 917-945, August 2025.ABSTRACT This paper investigates the economic consequences for Bitcoin options' prices of a long memory in conditional volatility and conditional non‐normality of Bitcoin returns. The arbitrage‐free prices of Bitcoin options are determined by market consistent valuation and the conditional Esscher transform. Monte Carlo estimates for option prices from
Tak Kuen Siu
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Does Climate Change Risk Impact Insurance Credit Risk? Cross Country Evidence
Business Strategy and the Environment, Volume 34, Issue 5, Page 5401-5418, July 2025.ABSTRACT While climate change poses a significant financial risk to the insurance industry, research has not yet examined the impact on the insurer's credit risk. This study investigates the impact of climate change risks on credit risk for insurance firms.
Jassem Alokla +2 more
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On the Discounted Penalty Function for Claims Having Mixed Exponential
Nonlinear Analysis, 2006 It is considered the classical risk model with mixed exponential claim sizes. Using known results it is obtained the explicit expression of the GerberShiu discounted penalty function ψ(x,δ) = E e −δT 1(T < ∞) , by some infinite series. Here δ > 0 is the
J. Šiaulys, J. Kočetova
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