Results 61 to 70 of about 5,349,529 (108)

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,
Shuanming Li, José Garrido
core  

The Expected Discounted Penalty Function with Random Income under Stochastic Discount Interest Force

, 2010
We study the delayed risk model with random premium income. The premium process is not a linear function of time in contrast with the classical model, but a Poisson process which is also independent of the claim process.
Zhi Liu, Wen Guang Yu
core   +1 more source

Time of ruin in a risk model with generalized Erlang (n) interclaim times and a constant dividend barrier [PDF]

In this paper we analyze the time of ruin in a risk process with the interclaim times being Erlang(n) distributed and a constant dividend barrier. We obtain an integro-differential equation for the Laplace Transform of the time of ruin.
Maite Teresa Marmol Jimenez, M. Mercedes Claramunt Bielsa   +1 more
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Gerber–Shiu analysis with two-sided acceptable levels

, 2017
In this paper, insurer’s surplus process moved within upper and lower levels is analyzed. To this end, a truncated type of Gerber–Shiu function is proposed by further incorporating the minimum and the maximum surplus before ruin into the existing ones (e.
Woo, JK, Hailiang Yang, Ran Xu, Xu, R, Yang, H, Jae-Kyung Woo   +5 more
core   +1 more source

The distribution of some extremum on the risk process whose income depend on the current reserve. [PDF]

Springerplus, 2016
He J, Liu Z, Zhang W.
europepmc   +1 more source

On the joint analysis of discounted aggregate claim costs until ruin and other ruin-related quantities

, 2015
In the context of classical ruin theory, ruin quantities (e.g. ruin probability and the time of ruin) are studied separately. It was not until the publication of the seminal paper by Gerber and Shiu (1998) that researchers began to focus on the joint ...
劉海波, Liu, Haibo
core   +1 more source

Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy

This paper studies a Sparre Andersen model in which the inter-claim times are generalized Erlang(n) distributed. We assume that the premium rate is a step function depending on the current surplus level.
Zhang, Zhimin, Yang, Hu
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Gerber-Shiu analysis in some dependent Sparre Andersen risk models [PDF]

, 2010
In this thesis, we consider a generalization of the classical Gerber-Shiu function in various risk models. The generalization involves introduction of two new variables in the original penalty function including the surplus prior to ruin and the deficit ...
Woo, Jae-Kyung
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The expected discounted penalty function for the perturbed compound Poisson risk process with constant interest

In this paper, we consider the Gerber-Shiu expected discounted penalty function for the perturbed compound Poisson risk process with constant force of interest. We decompose the Gerber-Shiu function into two parts: the expected discounted penalty at ruin
Wang, Guojing, Wu, Rong
core  

On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution

In this paper, we consider the Sparre Andersen risk model with an arbitrary interclaim time distribution and a fairly general class of distributions for the claim sizes.
Willmot, Gordon, Landriault, David
core