On the Markov-modulated insurance risk model with tax [PDF]
, 2010 In this paper, we consider the Markov-modulated insurance risk model with tax. We assume that the claim inter-arrivals, claim sizes and premium process are influenced by an external Markovian environment process.
Wang, R, Wei, J, Yang, H
core +1 more source
Convexity of ruin probability and optimal dividend strategies for a general Levy process [PDF]
, 2014 In this paper, we consider the optimal dividends problem for a company whose cash reserves follow a general Levy process with certain positive jumps and arbitrary negative jumps.
Shen, Ying +2 more
core +4 more sources
Analysis of some risk models involving dependence [PDF]
, 2010 The seminal paper by Gerber and Shiu (1998) gave a huge boost to the study of risk theory by not only unifying but also generalizing the treatment and the analysis of various risk-related quantities in one single mathematical function - the Gerber-Shiu ...
Cheung, Eric C.K.
core
Valuing equity-linked death benefits in jump diffusion models [PDF]
, 2013 postprin
Gerber, HU, Shiu, ESW, Yang, H
core +1 more source
The Markovian Shot-noise Risk Model: A Numerical Method for Gerber-Shiu Functions. [PDF]
Methodol Comput Appl Probab, 2023 Pojer S, Thonhauser S.
europepmc +1 more source
Catastrophic risks and the pricing of catastrophe equity put options. [PDF]
Comput Manag Sci, 2021 Arnone M +3 more
europepmc +1 more source
ON THE TIME VALUE OF RUIN IN THE DISCRETE TIME RISK MODEL [PDF]
Using an approach similar to that of Gerber and Shiu (1998), a recursive formula is given for the expected discounted penalty due at ruin, in the discrete time risk model. With it the joint distribution of three random variables is obtained; time to ruin,
José Garrido, Shuanming Li
core
The Gerber-Shiu expected discounted penalty-reward function under an affine jump-diffusion model. [PDF]
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).
Avram, Florin, Usábel, Miguel A.
core
The Effect of a Threshold Proportional Reinsurance Strategy on Ruin Probabilities [PDF]
In the context of a compound Poisson risk model, we define a threshold proportional reinsurance strategy: A retention level k1 is applied whenever the reserves are less than a determinate threshold b, and a retention level k2 is applied in the other case.
Anna Castaner +2 more
core +1 more source
On Fair Reinsurance Premiums; Capital Injections in a Perturbed Risk Model
, 2018 We consider a risk model where deficits after ruin are covered by a new type of reinsurance contract that provides capital injections. To allow the insurance company's survival after ruin, the reinsurer injects capital only at ruin times caused by jumps ...
Garrido, José, Salah, Zied Ben
core