Estimating the Gerber-Shiu Function in a Compound Poisson Risk Model with Stochastic Premium Income
Discrete Dynamics in Nature and Society, 2019 In this paper, we consider the compound Poisson risk model with stochastic premium income. We propose a new estimation of Gerber-Shiu function by an efficient method: Fourier-cosine series expansion.
Yunyun Wang, Wenguang Yu, Yujuan Huang
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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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Some optimization and decision problems in proportional reinsurance [WP] [PDF]
, 2014 Reinsurance is one of the tools that an insurer can use to mitigate the underwriting risk and then to control its solvency. In this paper, we focus on the proportional reinsurance arrangements and we examine several optimization and decision ...
Castañer, Anna +2 more
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The $W,Z$ scale functions kit for first passage problems of spectrally negative Levy processes, and applications to the optimization of dividends [PDF]
, 2019 First passage problems for spectrally negative L\'evy processes with possible absorbtion or/and reflection at boundaries have been widely applied in mathematical finance, risk, queueing, and inventory/storage theory.
Albrecher +113 more
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Estimating the Gerber-Shiu Expected Discounted Penalty Function for Lévy Risk Model
Discrete Dynamics in Nature and Society, 2019 This paper studies the statistical estimation of the Gerber-Shiu discounted penalty functions in a general spectrally negative Lévy risk model. Suppose that the claims process and the surplus process can be observed at a sequence of discrete time points.
Yujuan Huang +3 more
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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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On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative L\'{e}vy processes [PDF]
, 2007 We consider the classical optimal dividend control problem which was proposed by de Finetti [Trans. XVth Internat. Congress Actuaries 2 (1957) 433--443]. Recently Avram, Palmowski and Pistorius [Ann. Appl. Probab.
Loeffen, R. L.
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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
wiley +1 more source