Results 21 to 30 of about 579 (82)

Estimating the Gerber‐Shiu Function in a Compound Poisson Risk Model with Stochastic Premium Income

Discrete Dynamics in Nature and Society, Volume 2019, Issue 1, 2019., 2019
In this paper, we consider the compound Poisson risk model with stochastic premium income. We propose a new estimation of Gerber‐Shiu function by an efficient method: Fourier‐cosine series expansion. We show that the estimator is easily computed and has a fast convergence rate.
Yunyun Wang, Wenguang Yu, Yujuan Huang, Filippo Cacace   +3 more
wiley   +1 more source

On the Optimal Dividend Problem for Insurance Risk Models with Surplus-Dependent Premiums [PDF]

, 2015
This paper concerns an optimal dividend distribution problem for an insurance company with surplus-dependent premium. In the absence of dividend payments, such a risk process is a particular case of so-called piecewise deterministic Markov processes. The
Marciniak, Ewa, Palmowski, Zbigniew
core   +2 more sources

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

, 2008
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). Our proposed model, that generalizes several previously studied cases,
Avram, Florin, Usabel Rodrigo, Miguel Arturo   +1 more
core   +2 more sources

A Note on First Passage Functionals for Lévy Processes with Jumps of Rational Laplace Transforms

Abstract and Applied Analysis, Volume 2016, Issue 1, 2016., 2016
This paper investigates the two‐sided first exit problem for a jump process having jumps with rational Laplace transform. The corresponding boundary value problem is solved to obtain an explicit formula for the first passage functional. Also, we derive the distribution of the first passage time to two‐sided barriers and the value at the first passage ...
Djilali Ait-Aoudia, Lucas Jodar
wiley   +1 more source

The $W,Z$ scale functions kit for first passage problems of spectrally negative Levy processes, and applications to the optimization of dividends [PDF]

, 2019
First passage problems for spectrally negative L\'evy processes with possible absorbtion or/and reflection at boundaries have been widely applied in mathematical finance, risk, queueing, and inventory/storage theory.
Albrecher, Albrecher, Albrecher, Albrecher, Albrecher, Albrecher, Albrecher, Albrecher, Albrecher, Albrecher, Asmussen, Asmussen, Avram, Avram, Avram, Avram, Avram, Avram, Avram, Avram, Avram, Avram, Avram, Avram, Avram, Avram, Avram, Azcue, Baurdoux, Baurdoux, Baurdoux, Bayraktar, Bertoin, Bingham, Boxma, Brockwell, Caballero, Caballero, Cai, Carr, Ceren Vardar-Acar, Chan, Danijel Grahovac, de Finetti, Debicki, Dickson, Dickson, Dubins, Dufresne, Dufresne, Döring, Egami, Florin Avram, Gerber, Gerber, Gerber, Gerber, Gerber, Grahovac, Hernandez, Hobson, Huzak, Ivanovs, Ivanovs, Ivanovs, Jacobsen, Jeanblanc-Picqué, Kawazu, Kruk, Kyprianou, Kyprianou, Kyprianou, Landriault, Landriault, Landriault, Landriault, Landriault, Lehoczky, Li, Li, Li, Li, Li, Lin, Loeffen, Loeffen, Loeffen, Loisel, Løkka, Mijatovic, Miller, Noba, Page, Paroissin, Peskir, Picard, Pistorius, Pistorius, Pérez, Pérez, Pérez, Renaud, Ricciardi, Shepp, Shiryaev, Shreve, Suprun, Taylor, Wang, Yamazaki, Yin, Zhang, Zhao, Zhou   +113 more
core   +4 more sources

The First Passage Time Problem for Mixed‐Exponential Jump Processes with Applications in Insurance and Finance

Abstract and Applied Analysis, Volume 2014, Issue 1, 2014., 2014
This paper studies the first passage times to constant boundaries for mixed‐exponential jump diffusion processes. Explicit solutions of the Laplace transforms of the distribution of the first passage times, the joint distribution of the first passage times and undershoot (overshoot) are obtained.
Chuancun Yin, Yuzhen Wen, Zhaojun Zong, Ying Shen, Gaston M. N’Guérékata   +4 more
wiley   +1 more source

On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative L\'{e}vy processes [PDF]

, 2007
We consider the classical optimal dividend control problem which was proposed by de Finetti [Trans. XVth Internat. Congress Actuaries 2 (1957) 433--443]. Recently Avram, Palmowski and Pistorius [Ann. Appl. Probab.
Loeffen, R. L.
core   +3 more sources

On the Expected Discounted Penalty Function for the Classical Risk Model with Potentially Delayed Claims and Random Incomes

Journal of Applied Mathematics, Volume 2014, Issue 1, 2014., 2014
We focus on the expected discounted penalty function of a compound Poisson risk model with random incomes and potentially delayed claims. It is assumed that each main claim will produce a byclaim with a certain probability and the occurrence of the byclaim may be delayed depending on associated main claim amount. In addition, the premium number process
Huiming Zhu, Ya Huang, Xiangqun Yang, Jieming Zhou, Yansheng Liu   +4 more
wiley   +1 more source

On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes [PDF]

, 2016
In this paper, a dependent Sparre Andersen risk process in which the joint density of the interclaim time and the resulting claim severity satisfies the factorization as in Willmot and Woo (2012) is considered.
Cheung, ECK, Woo, JK
core   +1 more source

The Ornstein‐Uhlenbeck‐Type Model with a Hybrid Dividend Strategy

Journal of Applied Mathematics, Volume 2013, Issue 1, 2013., 2013
We consider the Ornstein‐Uhlenbeck‐type model. We first introduce the model and then find the ordinary differential equations and boundary conditions satisfied by the dividend functions; closed‐form solutions for the dividend value functions are given. We also study the distribution of the time value of ruin.
Dan Zhu, Chuancun Yin, Mina Abd-El-Malek
wiley   +1 more source