Wavelets method for computing finite time Gerber-Shiu function
, 2020 In this thesis, a wavelets scheme is proposed to compute the finite time Gerber-Shiu function under a Levy subordinator model. Gerber-Shiu function, also known as expected discounted penalty function, was first introduced in 1998 and has then become a ...
Tse, Yiu Ki, 謝耀祺
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The Gerber–Shiu discounted penalty functions for a risk model with two classes of claims [PDF]
, 2009 In this paper, we consider the ruin problems for a risk model involving two independent classes of insurance risks. We assume that the claim number processes are independent Poisson and generalized Erlang(n) processes, respectively.
Zhang, Zhimin, Yang, Hu, Li, Shuanming
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Gerber-Shiu Theory for Discrete Risk Processes in a Regime Switching Environment
, 2022 In this paper we develop the Gerber-Shiu theory for the classic and dual discrete risk processes in a Markovian (regime switching) environment. In particular, by expressing the Gerber-Shiu function in terms of potential measures of an upward (downward ...
Ramsden, Lewis +2 more
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Ruin probability and Gerber-Shiu function for the discrete time risk model with inhomogeneous claims. [PDF]
, 2012 In this thesis, the discrete time risk model with inhomogeneous claims is considered. This model is used for describing the insurer‘s capital and its components: initial capital, premiums received, and claims paid.
Bieliauskienė, Eugenija,
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An Optional Semimartingales Approach to Risk Theory
RisksThis paper aims to develop optional semimartingale methods in risk theory to allow for a larger class of risk models. Optional semimartingales are left-continuous with right-limit stochastic processes defined on a probability space where the usual ...
Mahdieh Aminian Shahrokhabadi +2 more
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A numerical method for the expected penalty–reward function in a Markov-modulated jump–diffusion process. [PDF]
A generalization of the Cramér–Lundberg risk model perturbed by a diffusion is proposed. Aggregate claims of an insurer follow a compound Poisson process and premiums are collected at a constant rate with additional random fluctuation.
Usábel, Miguel A., Diko, Peter
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The calculation of gerber-shiu penalty function for pareto claims. [PDF]
, 2011 In this paper we consider Gerber-Shiu discounted penalty function in the classical risk model for Pareto claims. Our main goal is to construct an algorithm for obtaining values of the discounted penalty function (considering penalty function w=1). Due to
Janušauskas, Arūnas,
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On the Multi-Periodic Threshold Strategy for the Spectrally Negative Lévy Risk Model
RisksAs a crucial modeling tool for stochastic financial markets, the Lévy risk model effectively characterizes the evolution of risks during enterprise operations.
Sijia Shen, Zijing Yu, Zhang Liu
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Analysis of the generalized Gerber-Shiu function in discrete-time dependent Sparre Andersen model
, 2016 There is a vast literature in the analysis of the insurer's surplus process under the Sparre Andersen risk model. Since it is cumbersome to calculate distributions of ruin-related quantities in the continuous-time model, we shall consider the discrete ...
Qi, Xiaozhen, 亓孝真
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An Expansion Formula to the Gerber-Shiu Function [PDF]
, 2023 application/pdfIn order to incorporate the effects of operational risks and economic fluctuations, we define the surplus process {R(t)} of an insurance company, by jump diffusion model R(t) = x + t + σB(t) −ΣN(t)k=0Uk, x≥ 0.
北村,仁代 +5 more
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