Estimating the Gerber-Shiu Expected Discounted Penalty Function for Lévy Risk Model [PDF]
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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A Note on a Generalized Gerber–Shiu Discounted Penalty Function for a Compound Poisson Risk Model [PDF]
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
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The Gerber–Shiu discounted penalty functions for a risk model with two classes of claims [PDF]
Journal of Computational and Applied Mathematics, 2009 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hu Yang, Zhimin Zhang, Shuanming Li
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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
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The Gerber-Shiu discounted penalty function: A review from practical perspectives [PDF]
Insurance: Mathematics and Economics, 2023 The Gerber-Shiu function provides a unified framework for the evaluation of a variety of risk quantities. Ever since its establishment, it has attracted constantly increasing interests in actuarial science, whereas the conventional research has been focused on finding analytical or semi-analytical solutions, either of which is rarely available, except ...
Yue He +3 more
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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
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The Gerber–Shiu discounted penalty function in the stationary renewal risk model [PDF]
Insurance: Mathematics and Economics, 2003 The aim of this article is to investigate various properties associated with the stationary renewal risk process. In the introductory Section 1, the authors review the ordinary renewal risk model, the stationary (equilibrium) renewal risk process, the invariance property between the stationary renewal risk and the classical models, the discounted ...
Gordon Willmot, David Dickson
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Journal of Computational and Applied Mathematics, 2014 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jianwei Gao
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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
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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
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