Results 11 to 20 of about 5,349,529 (108)
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
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The Gerber‐Shiu Discounted Penalty Function of Sparre Andersen Risk Model with a Constant Dividend Barrier [PDF]
Mathematical Problems in Engineering, 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. We derive the integro‐differential equation satisfied by the Gerber‐Shiu discounted penalty function of this risk model.
Huang, Yujuan, Yu, Wenguang
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The Gerber-Shiu expected discounted penalty function: an application to poverty trapping
Scandinavian Actuarial Journal45 ...
Flores-Contró, José Miguel
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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
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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
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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
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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
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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
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Approximations for the Gerber-Shiu expected discounted penalty function in the compound poisson risk model [PDF]
Advances in Applied Probability, 2007 In the classical risk model with initial capital u , let τ( u ) be the time of ruin, X + ( u ) be the risk reserve just before ruin, and
Pitts, Susan M., Politis, Konstadinos
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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
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