Results 151 to 160 of about 9,702 (209)
Some of the next articles are maybe not open access.
On the Gerber–Shiu function with random discount rate
Communications in Statistics - Theory and Methods, 2016ABSTRACTIn 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
openaire +2 more sources
The Gerber–Shiu function and the generalized Cramér–Lundberg model
Applied Mathematics and Computation, 2011zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Labbé, Chantal +2 more
openaire +3 more sources
Estimating the Gerber–Shiu function by Fourier–Sinc series expansion
Scandinavian Actuarial Journal, 2016In this paper, we consider the nonparametric estimation of the Gerber–Shiu function in a compound Poisson risk model perturbed by diffusion. We present a more efficient estimator based on Fourier–Sinc series expansion. Our estimator is easily computed and has a faster convergence rate.
Zhimin Zhang
openaire +2 more sources
On a generalization of the Gerber–Shiu function to path-dependent penalties
Insurance: Mathematics and Economics, 2010zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Biffis, Enrico, Morales, Manuel
openaire +3 more sources
On the Gerber–Shiu function and change of measure
Insurance: Mathematics and Economics, 2010zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hanspeter Schmidli
openaire +2 more sources
A new efficient method for estimating the Gerber–Shiu function in the classical risk model
Scandinavian Actuarial Journal, 2018Zhimin Zhang, Wen Su
semanticscholar +3 more sources
The Gerber–Shiu discounted penalty function in the risk process with phase-type interclaim times
Applied Mathematics and Computation, 2010zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Song, Min +3 more
openaire +3 more sources
Computing Gerber-Shiu function in the classical risk model with interest using collocation method
Communications in Statistics - Theory and Methods, 2023. The Gerber-Shiu function is a classical research topic in actuarial science. However, exact solutions are only available in the literature for very specific cases where the claim amounts follow distributions such as the exponential distribution.
Zan Yu, Lianzeng Zhang
semanticscholar +1 more source
Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions
SIAM Journal on Scientific Computing, 2021zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Li, Xiaolong +3 more
openaire +1 more source
On the Gerber–Shiu function for a risk model with multi-layer dividend strategy
Statistics & Probability Letters, 2012zbMATH Open Web Interface contents unavailable due to conflicting licenses.
M. Bratiichuk
openaire +2 more sources