Results 91 to 100 of about 9,702 (209)

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
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Catastrophic risks and the pricing of catastrophe equity put options. [PDF]

Comput Manag Sci, 2021
Arnone M, Bianchi ML, Quaranta AG, Tassinari GL.   +3 more
europepmc   +1 more source

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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The moderating effect of appearance on the impact of performance rankings in the live streaming market. [PDF]

Front Psychol, 2022
Chen Y, Huang X, Zhao S.
europepmc   +1 more source

Mouse splenocyte enrichment strategies via negative selection for broadened single-cell transcriptomics. [PDF]

STAR Protoc, 2022
Schulze TT, Neville AJ, Chapman RC, Davis PH.   +3 more
europepmc   +1 more source

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.
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Estimating the Gerber-Shiu Function by Fourier Cosine Series Expansion in the Wiener-Poisson Risk Model

Journal of Mathematical Finance, 2023
Marcelin Romeo Noumegni Kenmoe, J. Aduda, Mbele Bidima Martin Le Doux   +2 more
semanticscholar   +1 more source

Duality and Derivative Pricing with Lévy Processes [PDF]

The aim of this work is to use a duality approach to study the pricing of derivatives depending on two stocks driven by a bidimensional Lévy process. The main idea is to apply Girsanov's Theorem for Lévy processes, in order to reduce the posed problem to
Ernesto Mordecki, José Fajardo
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The Gerber-Shiu expected discounted penalty function: an application to poverty trapping

Scandinavian Actuarial Journal
45 ...
openaire   +2 more sources

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
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