Results 61 to 70 of about 5,202,947 (149)

The Gerber-Shiu expected discounted penalty-reward function under an affine jump-diffusion model. [PDF]

We provide a unified analytical treatment of first passage problems under an affine state-dependent jump-diffusion model (with drift and volatility depending linearly on the state).
Avram, Florin, Usábel, Miguel A.
core  

Gerber-Shiu analysis with a generalized penalty function

, 2010
A generalization of the usual penalty function is proposed, and a defective renewal equation is derived for the Gerber-Shiu discounted penalty function in the classical risk model. This is used to derive the trivariate distribution of the deficit at ruin,
Woo, JK, Landriault, D, Willmot, GE, Cheung, ECK   +3 more
core   +1 more source

Moving-Boundary Fluctuation Analysis: Premium Drift, Ladder Structure, and Ruin in Phase-Type Cumulative Shock Models

Mathematics
We extend the phase-tagged fluctuation framework for cumulative shock models from a fixed failure threshold to a linearly moving boundary u0+cτn, the premium drift regime that underlies insurance ruin theory.
Lotfi Tadj
doaj   +1 more source

Gerber-Shiu analysis in some dependent Sparre Andersen risk models [PDF]

, 2010
In this thesis, we consider a generalization of the classical Gerber-Shiu function in various risk models. The generalization involves introduction of two new variables in the original penalty function including the surplus prior to ruin and the deficit ...
Woo, Jae-Kyung
core  

The Gerber-Shiu discounted penalty function in the stationary renewal risk model [PDF]

, 2002
ISBN 0734028911 research paper no. 102The discounted penalty function introduced by Gerber and Shiu (1998) is considered in the stationary renewal risk model, where it is expressed in terms of the same discounted penalty function in the ordinary renewal ...
Dickson, David C. M., Willmot, Gordon E.
core   +1 more source

Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes [PDF]

, 2016
Inspired by works of Landriault et al. [11, 12], we study the Gerber{Shiu distribution at Parisian ruin with exponential implementation delays for a spectrally negative Levy insurance risk process.
Pardo, Juan Carlos, Renaud, Jean-Francois, Baurdoux, Erik J., Perez, Jose Luis   +3 more
core   +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

The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier

, 2007
In this paper, we consider the classical surplus process with interest and a constant dividend barrier. Under constant interest, we derive an integro-differential equation for the Gerber-Shiu expected discounted penalty function. Following an idea of Lin,
Wang, G, Li, WK, Yuen, KC
core   +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