Results 11 to 20 of about 579 (82)
Estimating the Gerber-Shiu Expected Discounted Penalty Function for Lévy Risk Model
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
doaj +3 more sources
The Gerber-Shiu Discounted Penalty Function of Sparre Andersen Risk Model with a Constant Dividend Barrier [PDF]
Mathematical Problems in Engineering, Volume 2014, Issue 1, 2014., 2014 This paper constructs a Sparre Andersen risk model with a constant dividend barrier in which the claim interarrival distribution is a mixture of an exponential distribution and an Erlang(n) distribution.
Wenguang Yu, Yujuan Huang
core +3 more sources
On the Expected Discounted Penalty Function Using Physics‐Informed Neural Network
Journal of Mathematics, Volume 2023, Issue 1, 2023., 2023 We study the expected discounted penalty at ruin under a stochastic discount rate for the compound Poisson risk model with a threshold dividend strategy. The discount rate is modeled by a Poisson process and a standard Brownian motion. By applying the differentiation method and total expectation formula, we obtain an integrodifferential equation for ...
Jiayu Wang +2 more
wiley +1 more source
On a Discrete‐Time Risk Model with Random Income and a Constant Dividend Barrier
Journal of Mathematics, Volume 2021, Issue 1, 2021., 2021 In this paper, a discrete‐time risk model with random income and a constant dividend barrier is considered. Under such a dividend policy, once the insurer’s reserve hits the level b(b > 0), the excess of the reserve over b is paid off as dividends.
Zhenhua Bao +3 more
wiley +1 more source
Compound Binomial Model with Batch Markovian Arrival Process
Mathematical Problems in Engineering, Volume 2020, Issue 1, 2020., 2020 A compound binomial model with batch Markovian arrival process was studied, and the specific definitions are introduced. We discussed the problem of ruin probabilities. Specially, the recursion formulas of the conditional finite‐time ruin probability are obtained and the numerical algorithm of the conditional finite‐time nonruin probability is proposed.
Fang Jin +3 more
wiley +1 more source
Pricing of Margin Call Stock Loan Based on the FMLS
Mathematical Problems in Engineering, Volume 2020, Issue 1, 2020., 2020 In common stock loan, lenders face the risk that their loans will not be repaid if the stock price falls below loan, which limits the issuance and circulation of stock loans. The empirical test suggests that the log‐return series of stock price in the US market reject the normal distribution and admit instead a subclass of the asymmetric distribution ...
Kaili Xiang +3 more
wiley +1 more source
On a Gerber–Shiu type function and its applications in a dual semi-Markovian risk model [PDF]
, 2014 In this paper, we consider a dual risk process which can be used to model the surplus of a business that invests money constantly and earns gains randomly in both time and amount.
Cheung, ECK, Liu, L
core +1 more source
Lévy insurance risk process with Poissonian taxation [PDF]
, 2017 The idea of taxation in risk process was first introduced by Albrecher and Hipp (2007), who suggested that a certain proportion of the insurer's income is paid immediately as tax whenever the surplus process is at its running maximum.
Cheung, ECK, Yang, H, Zhang, Z
core +1 more source
Some optimization and decision problems in proportional reinsurance [WP] [PDF]
, 2014 Reinsurance is one of the tools that an insurer can use to mitigate the underwriting risk and then to control its solvency. In this paper, we focus on the proportional reinsurance arrangements and we examine several optimization and decision ...
Castañer, Anna +2 more
core +1 more source
On the Discounted Penalty Function for Claims Having Mixed Exponential
Nonlinear Analysis, 2006 It is considered the classical risk model with mixed exponential claim sizes. Using known results it is obtained the explicit expression of the GerberShiu discounted penalty function ψ(x,δ) = E e −δT 1(T < ∞) , by some infinite series. Here δ > 0 is the
J. Šiaulys, J. Kočetova
doaj +1 more source