Results 31 to 40 of about 579 (82)
Exact joint laws associated with spectrally negative Levy processes and applications to insurance risk theory [PDF]
, 2013 We consider the spectrally negative Levy processes and determine the joint laws for the quantities such as the first and last passage times over a fixed level, the overshoots and undershoots at first passage, the minimum, the maximum and the duration of ...
Yin, Chuancun, Yuen, Kam Chuen
core +2 more sources
Randomized Dividends in a Discrete Insurance Risk Model with Stochastic Premium Income
Mathematical Problems in Engineering, Volume 2013, Issue 1, 2013., 2013 The compound binomial insurance risk model is extended to the case where the premium income process, based on a binomial process, is no longer a constant premium rate of 1 per period and insurer pays a dividend of 1 with a probability q0 when the surplus is greater than or equal to a nonnegative integer b. The recursion formulas for expected discounted
Wenguang Yu, Guangchen Wang
wiley +1 more source
On a Perturbed Risk Model with Time‐Dependent Claim Sizes
Journal of Mathematics, Volume 2024, Issue 1, 2024.We consider a risk model perturbed by a Brownian motion, where the individual claim sizes are dependent on the inter‐claim times. We study the Gerber–Shiu functions when ruin is due to a claim or the jump‐diffusion process. Integro‐differential equations and Laplace transforms satisfied by the Gerber–Shiu functions are obtained.
Longfei Wei +4 more
wiley +1 more source
Journal of Applied Mathematics, Volume 2013, Issue 1, 2013., 2013 Based on characteristics of the nonlife joint‐stock insurance company, this paper presents a compound binomial risk model that randomizes the premium income on unit time and sets the threshold x for paying dividends to shareholders. In this model, the insurance company obtains the insurance policy in unit time with probability p0 and pays dividends to ...
Xiong Wang, Lei He, Samir H. Saker
wiley +1 more source
First passage problems for upwards skip-free random walks via the $\Phi,W,Z$ paradigm [PDF]
, 2018 We develop the theory of the $W$ and $Z$ scale functions for right-continuous (upwards skip-free) discrete-time discrete-space random walks, along the lines of the analogue theory for spectrally negative L\'evy processes.
Avram, Florin, Vidmar, Matija
core +4 more sources
Abstract and Applied Analysis, Volume 2013, Issue 1, 2013., 2013 We consider a Sparre Andersen risk model perturbed by diffusion where the interclaim times are generalized Erlang(n) distribution. Generalized discounted penalty functions incorporating the maximum surplus before ruin are studied. We derive the integrodifferential equations and give the solutions for the generalized discounted penalty functions.
Chaolin Liu, Zhimin Zhang, Bernhard Ruf
wiley +1 more source
Regime‐Switching Risk: To Price or Not to Price?
International Journal of Stochastic Analysis, Volume 2011, Issue 1, 2011., 2011 Should the regime‐switching risk be priced? This is perhaps one of the important “normative” issues to be addressed in pricing contingent claims under a Markovian, regime‐switching, Black‐Scholes‐Merton model. We address this issue using a minimal relative entropy approach.
Tak Kuen Siu, Lukasz Stettner
wiley +1 more source
An Optional Semimartingales Approach to Risk Theory
RisksThis paper aims to develop optional semimartingale methods in risk theory to allow for a larger class of risk models. Optional semimartingales are left-continuous with right-limit stochastic processes defined on a probability space where the usual ...
Mahdieh Aminian Shahrokhabadi +2 more
doaj +1 more source
A note on deficit analysis in dependency models involving Coxian claim amounts [PDF]
, 2014 postprin
Landriault, D +3 more
core +1 more source
, 2015 Mathematical Problems in Engineering, Volume 2015, Issue 1, 2015.
Weihai Zhang +5 more
wiley +1 more source