Results 121 to 130 of about 182 (148)

On the Gerber–Shiu function with random discount rate

Communications in Statistics - Theory and Methods, 2016
ABSTRACTIn this paper, we study the Gerber–Shiu (G-S) function for the classical risk model, in which the discount rate is generalized from a constant to a random variable. The discounted interest force accumulated process is modeled by a Poisson process and a Gaussian process for the G-S function. In terms of the standard techniques in ruin theory, we
Houchun Wang, Nengxiang Ling
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On the Gerber-Shiu discounted penalty function for subexponential claims

Lithuanian Mathematical Journal, 2006
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Šiaulys, J., Asanavičiūutė, R.
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Computing the Gerber–Shiu function by frame duality projection

Scandinavian Actuarial Journal, 2018
Inspired by some works of Kirkby, J. L. [2015. Efficient option pricing by frame duality with the fast Fourier transform. SIAM Journal on Financial Mathematics 6(1), 713–747; 2016.
Wenyuan Wang, Zhimin Zhang
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On the Gerber–Shiu discounted penalty function in a risk model with delayed claims

Journal of the Korean Statistical Society, 2012
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Zou, Wei, Xie, Jie-hua
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Structural properties of Gerber–Shiu functions in dependent Sparre Andersen models

Insurance: Mathematics and Economics, 2010
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Landriault, D, Willmot, GE, Cheung, ECK, Woo, JK   +3 more
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Extended Gerber–Shiu functions in a risk model with interest

Insurance: Mathematics and Economics, 2015
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A Note on Gerber–Shiu Functions with an Application

2014
We consider a classical compound Poisson risk model. The Laplace transform of the non-discounted penalty function (also called the Gerber–Shiu function) is inverted, giving an explicit formula. By a change of measure, we can also generalise the result to discounted penalty functions.
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The discrete stationary renewal risk model and the Gerber–Shiu discounted penalty function

Insurance: Mathematics and Economics, 2004
The paper considers a generalization of the discrete renewal risk model, the discrete stationary or discrete equilibrium renewal risk model. The main result of the paper is that it relates the Gerber-Shiu discounted penalty functions in the ordinary and the equilibrium discrete renewal risk models. The discount free model is also considered.
Pavlova, Kristina P., Willmot, Gordon E.
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On the analysis of the Gerber–Shiu discounted penalty function for risk processes with Markovian arrivals

Insurance: Mathematics and Economics, 2007
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Ahn, Soohan, Badescu, Andrei L.
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Estimating Gerber–Shiu functions from discretely observed Lévy driven surplus

Insurance: Mathematics and Economics, 2017
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Shimizu, Yasutaka, Zhang, Zhimin
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