Results 161 to 170 of about 9,702 (209)
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Gerber–Shiu analysis with a generalized penalty function
Scandinavian Actuarial Journal, 2010A generalization of the usual penalty function is proposed, and a defective renewal equation is derived for the Gerber–Shiu discounted penalty function in the classical risk model. This is used to derive the trivariate distribution of the deficit at ruin, the surplus prior to ruin, and the surplus immediately following the second last claim before ruin.
Woo, JK +3 more
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Estimating Gerber–Shiu functions from discretely observed Lévy driven surplus
Insurance: Mathematics and Economics, 2017zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Shimizu, Yasutaka, Zhang, Zhimin
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Communications in Statistics - Theory and Methods
. In this article, we study the Wiener-Poisson risk model under high-frequency data. An estimator for the Gerber-Shiu function is constructed by combining the threshold method with the Fourier-cosine method.
Chongkai Xie, Honglong You
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. In this article, we study the Wiener-Poisson risk model under high-frequency data. An estimator for the Gerber-Shiu function is constructed by combining the threshold method with the Fourier-cosine method.
Chongkai Xie, Honglong You
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Structural properties of Gerber–Shiu functions in dependent Sparre Andersen models
Insurance: Mathematics and Economics, 2010zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Landriault, D +3 more
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Communications in Statistics - Theory and Methods, 2019
In this paper, we concern the statistical estimation of the Gerber-Shiu function under a risk model with stochastic premiums. We express the Gerber-Shiu function by Laguerre series expansion and estimate it based on observed information.
Wen Su, Benxuan Shi, Yunyun Wang
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In this paper, we concern the statistical estimation of the Gerber-Shiu function under a risk model with stochastic premiums. We express the Gerber-Shiu function by Laguerre series expansion and estimate it based on observed information.
Wen Su, Benxuan Shi, Yunyun Wang
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The gerber-shiu expected discounted penalty function for Lévy insurance risk processes
Acta Mathematicae Applicatae Sinica, English Series, 2010A Lévy risk model \(\{X_t\}\) without a Brownian component and with \(\mathbb{E}[X_1] > 0\) is considered, where the upward jumps are bounded by some constant \(-a \geq 0\). The goal is to calculate the Gerber--Shiu expected discounted penalty function \[ \Phi(x) = \mathbb{E}\bigl[ e^{-\delta T} 1_{T < \infty} w(X_{T-},|X_T|) \bigm| X_0 = x\bigr]\;, \]
Zhao, Xiang-Hua, Yin, Chuan-Cun
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arXiv.org
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.
Zan Yu, Lianzeng Zhang
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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.
Zan Yu, Lianzeng Zhang
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On the Gerber-Shiu discounted penalty function for subexponential claims
Lithuanian Mathematical Journal, 2006zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Šiaulys, J., Asanavičiūutė, R.
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The Gerber-Shiu Function with Two Types of Claim Interference Risk Model
Advances in Applied Mathematics璐 韩
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Extended Gerber–Shiu functions in a risk model with interest
Insurance: Mathematics and Economics, 2015zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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