Results 61 to 70 of about 3,767 (126)

Gerber-Shiu theory for discrete risk processes in a regime switching environment [PDF]

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 ...
Palmowski, Zbigniew, Papaioannou, Apostolos D, Ramsden, Lewis   +2 more
core   +2 more sources

Asymptotic behavior of the Gerber–Shiu discounted penalty function in the Erlang(2) risk process with subexponential claims

Nonlinear Analysis, 2011
We investigate the asymptotic behavior of the Gerber–Shiu discounted penalty function ɸ(u) = E(e−δT 1{T
Jelena Kočetova, Jonas Šiaulys
doaj  

An Optional Semimartingales Approach to Risk Theory

Risks
This 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, Alexander Melnikov, Andrey Pak   +2 more
doaj   +1 more source

The Effect of a Threshold Proportional Reinsurance Strategy on Ruin Probabilities [PDF]

In the context of a compound Poisson risk model, we define a threshold proportional reinsurance strategy: A retention level k1 is applied whenever the reserves are less than a determinate threshold b, and a retention level k2 is applied in the other case.
Anna Castaner, M. Merce Claramunt, Maite Marmol   +2 more
core   +1 more source

Deficit at ruin with threshold proportional reinsurance [PDF]

, 2019
In this paper, we focus our analysis on the distribution function and the moments of the deficit at ruin in a model with a threshold proportional reinsurance strategy using the Gerber-Shiu function. This strategy considers a proportional reinsurance, but
Castañer, Anna, Claramunt Bielsa, M. Mercè, Mármol, Maite   +2 more
core  

On the Multi-Periodic Threshold Strategy for the Spectrally Negative Lévy Risk Model

Risks
As 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
doaj   +1 more source

The Markovian Shot-noise Risk Model: A Numerical Method for Gerber-Shiu Functions. [PDF]

Methodol Comput Appl Probab, 2023
Pojer S, Thonhauser S.
europepmc   +1 more source

The Non-Coding RNA Journal Club: Highlights on Recent Papers-12. [PDF]

Noncoding RNA, 2023
Shiu PKT, Ilieva M, Holm A, Uchida S, DiStefano JK, Bronisz A, Yang L, Asahi Y, Goel A, Yang L, Nuthanakanti A, Serganov A, Alahari SK, Lin C, Pardini B, Naccarati A, Jin J, Armanios B, Zhong XB, Sideris N, Bayraktar S, Castellano L, Gerber AP, Lin H, Conn SJ, Sleem DMM, Timmons L.   +26 more
europepmc   +1 more source

Upside and downside correlated jump risk premia of currency options and expected returns. [PDF]

Financ Innov, 2023
He JC, Chang HH, Chen TF, Lin SK.
europepmc   +1 more source

Ruin Analysis on a New Risk Model with Stochastic Premiums and Dependence Based on Time Series for Count Random Variables. [PDF]

Entropy (Basel), 2023
Guan L, Wang X.
europepmc   +1 more source