Results 141 to 150 of about 9,702 (209)

Estimating the Gerber–Shiu function in a Lévy risk model by Laguerre series expansion

open access: yesJournal of Computational and Applied Mathematics, 2019
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Zhang, Zhimin, Su, Wen
semanticscholar   +4 more sources

Gerber–Shiu function for the discrete inhomogeneous claim case

International Journal of Computer Mathematics, 2012
The discrete time risk model with non-identically distributed claims is investigated. Finite and infinite time recursive Gerber–Shiu functions are considered and the algorithm of calculation guidelines is written. Examples of ruin probability and Gerber–Shiu function behaviour are shown.
Eugenija Bieliauskienė, Jonas Šiaulys
semanticscholar   +4 more sources

On the generalized Gerber–Shiu function for surplus processes with interest

Insurance: Mathematics and Economics, 2013
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Li, Shuanming, Lu, Yi
semanticscholar   +4 more sources

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
openaire   +2 more sources

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