Randomized observation times for the compound Poisson risk model: The discounted penalty function [PDF]
, 2013 In the framework of collective risk theory, we consider a compound Poisson risk model for the surplus process where the process (and hence ruin) can only be observed at random observation times. For Erlang(n) distributed inter-observation times, explicit
Albrecher, H. +2 more
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On the joint analysis of the total discounted payments to policyholders and shareholders: Dividend barrier strategy [PDF]
, 2015 In the compound Poisson insurance risk model under a dividend barrier strategy, this paper aims to analyze jointly the aggregate discounted claim amounts until ruin and the total discounted dividends until ruin, which represent the insurer’s payments to ...
Cheung, ECK, Liu, H, Woo, JK
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Fourier-cosine method for Gerber-Shiu functions [PDF]
, 2015 In this article, we provide a systematic study on effectively approximating the Gerber–Shiu functions, which is a hardly touched topic in the current literature, by incorporating the recently popular Fourier-cosine method.
Chau, KW, Yam, SCP, Yang, H
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Recursive methods for a multi-dimensional risk process with common shocks [PDF]
, 2012 In this paper, a multi-dimensional risk model with common shocks is studied. Using a simple probabilistic approach via observing the risk processes at claim instants, recursive integral formulas are developed for the survival probabilities as well as for
Badescu, AL, Cheung, ECK, Gong, L
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The Markov Additive risk process under an Erlangized dividend barrier strategy [PDF]
, 2014 In this paper, we consider a Markov additive insurance risk process under a randomized dividend strategy in the spirit of Albrecher et al. (2011). Decisions on whether to pay dividends are only made at a sequence of dividend decision time points whose ...
Cheung, ECK, Zhang, Z
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An introduction to Gerber-Shiu analysis [PDF]
, 2011 A valuable analytical tool to understand the event of ruin is a Gerber-Shiu discounted penalty function. It acts as a unified means of identifying ruin-related quantities which may help insurers understand their vulnerability ruin.
Huynh, Mirabelle
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A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium [PDF]
, 2011 In a general Sparre Andersen risk model with surplus-dependent premium income, the generalization of Gerber-Shiu function proposed by Cheung et al. (2010a) is studied.
Cheung, ECK
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A unified analysis of claim costs up to ruin in a Markovian arrival risk model [PDF]
, 2013 postprin
Cheung, ECK, Feng, R
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The Omega model: from bankruptcy to occupation times in the red [PDF]
, 2012 published_or_final_versio
Gerber, HU, Shiu, ESW, Yang, H
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The risk model with stochastic premiums, dependence and a threshold dividend strategy
, 2017 The paper deals with a generalization of the risk model with stochastic premiums where dependence structures between claim sizes and inter-claim times as well as premium sizes and inter-premium times are modeled by Farlie--Gumbel--Morgenstern copulas. In
Ragulina, Olena
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