Results 31 to 40 of about 5,349,529 (108)
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
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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
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The Gerber-Shiu discounted penalty function for the bi-seasonal discrete time risk model
Informatica, 2018 Summary: In this work, the discrete time risk model with two seasons is considered. In such model, the claims repeat with time periods of two units, i.e. claim distributions coincide at all even instants and at all odd instants. Our purpose is to derive an algorithm for calculating the values of the particular case of the Gerber-Shiu discounted penalty
Olga Navickiene +2 more
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The gerber-shiu discounted penalty function for pareto distributed claims. [PDF]
, 2014 The asymptotic of the Gerber-Shiu discounted penalty function in Poisson model with Pareto distributed claims is obtained. The asymptotic is obtained as initial surplus x tends to infinity.
Asanavičiūtė, Rasa,
core
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
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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
, 2015 Mathematical Problems in Engineering, Volume 2015, Issue 1, 2015.
Weihai Zhang +5 more
wiley +1 more source
The gerber-shiu discounted penalty function for weibul distributed claims. [PDF]
, 2014 In this work the main member of the Gerber-Shiu discounted penalty function in a classic collective risk model with Weibull distribution (parameters η = const, 0< η
Grušienė, Giedrė,
core
MathematicsWe extend the phase-tagged fluctuation framework for cumulative shock models from a fixed failure threshold to a linearly moving boundary u0+cτn, the premium drift regime that underlies insurance ruin theory.
Lotfi Tadj
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