Results 71 to 80 of about 5,349,529 (108)

Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence

We study the asymptotic behavior of the Gerber-Shiu expected discounted penalty function in the renewal risk model. Under the assumption that the claim-size distribution has a convolution-equivalent density function, which allows both heavy-tailed and ...
Tang, Qihe, Wei, Li
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Computing the Gerber-Shiu function with interest and a constant dividend barrier by physics-informed neural networks

In this paper, we propose a new efficient method for calculating the Gerber-Shiu discounted penalty function. Generally, the Gerber-Shiu function usually satisfies a class of integro-differential equation.
Zhang, Lianzeng, Yu, Zan
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A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model

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 ...
Cheung, Eric C.K., Landriault, David
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An algebraic operator approach to the analysis of Gerber-Shiu functions

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, Rosenkranz, Markus, Pirsic, Gottlieb, Albrecher, Hansjörg, Constantinescu, Corina   +4 more
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Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims

In this paper we consider a risk model with two independent classes of insurance risks. We assume that the two independent claim counting processes are, respectively, the Poisson and the generalized Erlang(2) process.
Papaioannou, Apostolos D., Chadjiconstantinidis, Stathis   +1 more
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A connection between the discounted and non-discounted expected penalty functions in the Sparre Andersen risk model

In this paper, we study the Gerber-Shiu expected discounted penalty function in a Sparre Andersen risk model probabilistically. This is implemented through the modified random walk defined herein.
Ren, Jiandong
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On the expected discounted penalty function for the continuous-time compound binomial risk model

In this paper, we consider the expected discounted penalty function (i.e., the Gerber-Shiu function) for the continuous-time compound binomial risk model. A recursive equation and the Laplace transform of this function are obtained.
Wang, Ying, Liu, Guoxin
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Pricing perpetual American catastrophe put options: A penalty function approach

The expected discounted penalty function proposed in the seminal paper by Gerber and Shiu [Gerber, H.U., Shiu, E.S.W., 1998. On the time value of ruin. North Amer. Actuarial J.
Lin, X. Sheldon, Wang, Tao
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Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance

In this paper, we extend the Cramér-Lundberg risk model perturbed by diffusion to incorporate the jumps of surplus investment return. Under the assumption that the jump of surplus investment return follows a compound Poisson process with Laplace ...
Chi, Yichun
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The Gerber-Shiu Discounted Penalty Function for the Risk Model with Phase-Type Inter Claim Times

Pure Mathematics, 2014
openaire   +1 more source