The Gerber-Shiu Expected Penalty Function for the Risk Model with Dependence and a Constant Dividend Barrier [PDF]
Abstract and Applied Analysis, 2014 We consider a compound Poisson risk model with dependence and a constant dividend barrier. A dependence structure between the claim amount and the interclaim time is introduced through a Farlie-Gumbel-Morgenstern copula.
Donghai Liu, Zaiming Liu, Dan Peng
doaj +4 more sources
Asymptotic behavior of the Gerber–Shiu discounted penalty function in the Erlang(2) risk process with subexponential claims [PDF]
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 +5 more sources
A Note on a Generalized Gerber–Shiu Discounted Penalty Function for a Compound Poisson Risk Model
Mathematics, 2019 In this paper, we propose a new generalized Gerber−Shiu discounted penalty function for a compound Poisson risk model, which can be used to study the moments of the ruin time.
Jiechang Ruan +5 more
doaj +3 more sources
A Note on Gerber–Shiu Function with Delayed Claim Reporting under Constant Force of Interest
Mathematical and Computational Applications, 2022 In this paper, we analyze the Gerber–Shiu discounted penalty function for a constant interest rate in delayed claim reporting times. Using the Poisson claim arrival scenario, we derive the differential equation of the Laplace transform of the generalized
Kokou Essiomle, Franck Adekambi
doaj +1 more source
Recursive Approaches for Multi-Layer Dividend Strategies in a Phase-Type Renewal Risk Model
Risks, 2022 In this paper we consider a risk model with two independent classes of insurance risks in the presence of a multi-layer dividend strategy. We assume that both of the claim number processes are renewal processes with phase-type inter-arrival times.
Apostolos D. Papaioannou, Lewis Ramsden
doaj +1 more source
A Note on a Modified Parisian Ruin Concept
Risks, 2023 Traditionally, Parisian ruin is said to occur when the insurer’s surplus process has stayed below level zero continuously for a certain grace period. Inspired by this concept, in this paper we propose a modification by assuming that once a grace period ...
Eric C. K. Cheung, Jeff T. Y. Wong
doaj +1 more source
On Computations in Renewal Risk Models—Analytical and Statistical Aspects
Risks, 2020 We discuss aspects of numerical methods for the computation of Gerber-Shiu or discounted penalty-functions in renewal risk models. We take an analytical point of view and link this function to a partial-integro-differential equation and propose a ...
Josef Anton Strini, Stefan Thonhauser
doaj +1 more source
On the joint analysis of the total discounted payments to policyholders and shareholders: Threshold dividend strategy [PDF]
, 2016 In insurance risk theory, dividend and aggregate claim amount are of great research interest as they represent the insurance company's payments to its shareholders and policyholders respectively.
Cheung, ECK, Liu, H
core +1 more source
On a class of stochastic models with two-sided jumps [PDF]
, 2011 In this paper a stochastic process involving two-sided jumps and a continuous downward drift is studied. In the context of ruin theory, the model can be interpreted as the surplus process of a business enterprise which is subject to constant expense rate
Cheung, ECK
core +1 more source
On a Risk Model with Surplus-dependent Premium and Tax Rates [PDF]
, 2012 In this paper, the compound Poisson risk model with surplus-dependent premium rate is analyzed in the taxation system proposed by Albrecher and Hipp (Blätter der DGVFM 28(1):13-28, 2007).
Cheung, ECK, Landriault, D
core +1 more source