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.
Yam, SCP, Chau, KW, Yang, H
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A direct approach to the discounted penalty function
, 2010 This paper provides a new and accessible approach to establishing certain results concerning the discounted penalty function. The direct approach consists of two steps.
Albrecher, H, Gerber, HU, Yang, H
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On the joint analysis of the total discounted payments to policyholders and shareholders: Threshold dividend strategy [PDF]
, 2016 In insurance risk theory, dividend and aggregate claim amount are of great research interest as they represent the insurance company's payments to its shareholders and policyholders respectively.
Liu, H, Cheung, ECK
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The analysis of the Gerber-Shiu discounted penalty function
, 2011 The Gerber-Shiu discounted penalty function was the main object of investigations in the thesis. This function is very effective tool in modelling activity of insurance company, because it describes the expectation of the present value of a future bankruptcy.
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An algebraic operator approach to the analysis of Gerber-Shiu functions
, 2010 We introduce an algebraic operator framework to study discounted penalty functions in renewal risk models. For inter-arrival and claim size distributions with rational Laplace transform, the usual integral equation is transformed into a boundary value ...
Regensburger, Georg +4 more
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Gerber-Shiu diskontuotos baudos funkcijos tyrimas. [PDF]
, 2011 The Gerber-Shiu discounted penalty function was the main object of investigations in the thesis. This function is very effective tool in modelling activity of insurance company, because it describes the expectation of the present value of a future ...
Kočetova, Jelena,
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Wavelets method for computing finite time Gerber-Shiu function
, 2020 In this thesis, a wavelets scheme is proposed to compute the finite time Gerber-Shiu function under a Levy subordinator model. Gerber-Shiu function, also known as expected discounted penalty function, was first introduced in 1998 and has then become a ...
Tse, Yiu Ki, 謝耀祺
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Asymptotically Normal Estimators of the Gerber-Shiu Function in Classical Insurance Risk Model
, 2020 Nonparametric estimation of the Gerber-Shiu function is a popular topic in insurance risk theory. Zhang and Su (2018) proposed a novel method for estimating the Gerber-Shiu function in classical insurance risk model by Laguerre series expansion based on ...
Wen Su, Wenguang Yu
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The Gerber-Shiu discounted penalty function for classical risk model with a two-step premium rate
The paper studies the expected value of a discounted penalty function for a classical risk model with a two-step premium rate. In this model, we firstly derive and solve an integro-differential equation for the Gerber-Shiu discounted penalty function ...
Zhou, M., Zhang, H.Y., Guo, J.Y.
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A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model
, 2010 In this paper, a risk model where claims arrive according to a Markovian arrival process (MAP) is considered. A generalization of the well-known Gerber-Shiu function is proposed by incorporating the maximum surplus level before ruin into the penalty ...
Landriault, D, Cheung, ECK
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