Results 171 to 180 of about 9,702 (209)

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.
openaire   +2 more sources

Gerber Shiu Function of a Risk Model with Two Classes of Claims, Random Incomes and Markov-Modulated System Parameters

Applied Mathematics & Information Sciences, 2019
In this paper we consider the Gerber-Shiu (G-S) discounted penalty function of a risk model with two classes of claims, random income and all system parameters controlled by independent Markov-Modulated (MM) environments.
G. Shija, M. J. Jacob
semanticscholar   +1 more source

Gerber-Shiu Function for a Class of Markov-Modulated Lévy Risk Processes with Two-Sided Jumps

Methodology and Computing in Applied Probability, 2022
E. M. Martín-González, A. Murillo-Salas, Henry Pantí   +2 more
semanticscholar   +1 more source

The Gerber-Shiu function for the compound Poisson Omega model with a three-step premium rate

Communications in Statistics - Theory and Methods, 2018
The compound Poisson Omega model is considered in the presence of a three-step premium rate. Firstly, the integral equations and the integro-differential equations for the Gerber-Shiu expected discounted penalty function are derived.
Zhongqin Gao, Jingmin He
semanticscholar   +1 more source

Gerber–Shiu Function at Draw-Down Parisian Ruin Time for the Spectrally Negative Lévy Risk Process

Bulletin of the Iranian Mathematical Society, 2021
Aili Zhang
semanticscholar   +2 more sources

On the Gerber–Shiu discounted penalty function in a risk model with delayed claims

Journal of the Korean Statistical Society, 2012
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Zou, Wei, Xie, Jie-hua
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Gerber–Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy

Insurance: Mathematics and Economics, 2008
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Yang, Hu, Zhang, Zhimin
openaire   +1 more source

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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Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation

Journal of Computational and Applied Mathematics, 2022
Jiayi Xie, Zhimin Zhang
semanticscholar   +1 more source

The Gerber-Shiu Discounted Penalty Function for Risk Process with Double Markovian Environment

Advanced Materials Research, 2010
In this paper, we study the Gerber-Shiu discounted penalty function. We shall consider the case where the discount interest process and the occurrence of the claims are driven by two distinguished Markov process, respectively. Moreover, in this model we also consider the influence of a premium rate which varies with the level of free reserves.
openaire   +1 more source