Results 11 to 20 of about 9,702 (209)
Estimating the Gerber-Shiu Function in Lévy Insurance Risk Model by Fourier-Cosine Series Expansion
Mathematics, 2021 In this paper, we propose an estimator for the Gerber–Shiu function in a pure-jump Lévy risk model when the surplus process is observed at a high frequency.
Wen Su, Yunyun Wang
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International Journal of Mathematics for Industry, 2023 This paper studies the Gerber–Shiu function for the insurance surplus process with additional investment under the Bachelier model. The Gerber–Shiu function allows us to study the moments of the time of ruin, which is the first time that the surplus is negative.
Sutipon Punaluek, Yuri Imamura
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Asymptotically Normal Estimators of the Gerber-Shiu Function in Classical Insurance Risk Model
Mathematics, 2020 Nonparametric estimation of the Gerber-Shiu function is a popular topic in insurance risk theory. Zhang and Su (2018) proposed a novel method for estimating the Gerber-Shiu function in classical insurance risk model by Laguerre series expansion based on ...
Wen Su, Wenguang Yu
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Gerber–Shiu Function in a Class of Delayed and Perturbed Risk Model with Dependence [PDF]
Risks, 2020 This paper considers the risk model perturbed by a diffusion process with a time delay in the arrival of the first two claims and takes into account dependence between claim amounts and the claim inter-occurrence times. Assuming that the time arrival of the first claim follows a generalized mixed equilibrium distribution, we derive the integro ...
Franck Adékambi, Essodina Takouda
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A Note on Gerber–Shiu Function with Delayed Claim Reporting under Constant Force of Interest
Mathematical and Computational Applications, 2022 In this paper, we analyze the Gerber–Shiu discounted penalty function for a constant interest rate in delayed claim reporting times. Using the Poisson claim arrival scenario, we derive the differential equation of the Laplace transform of the generalized
Kokou Essiomle, Franck Adekambi
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Estimating the Gerber–Shiu Function in the Two-Sided Jumps Risk Model by Laguerre Series Expansion
Mathematics, 2023 In this paper, we consider an insurance risk model with two-sided jumps, where downward and upward jumps typically represent claim amounts and random gains, respectively. We use the Laguerre series to expand the Gerber–Shiu function and estimate it based
Kang Hu, Ya Huang, Yingchun Deng
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Estimating the Gerber-Shiu Function in a Compound Poisson Risk Model with Stochastic Premium Income
Discrete Dynamics in Nature and Society, 2019 In this paper, we consider the compound Poisson risk model with stochastic premium income. We propose a new estimation of Gerber-Shiu function by an efficient method: Fourier-cosine series expansion.
Yunyun Wang, Wenguang Yu, Yujuan Huang
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The Gerber-Shiu Expected Penalty Function for the Risk Model with Dependence and a Constant Dividend Barrier [PDF]
Abstract and Applied Analysis, 2014 We consider a compound Poisson risk model with dependence and a constant dividend barrier. A dependence structure between the claim amount and the interclaim time is introduced through a Farlie-Gumbel-Morgenstern copula.
Dan Peng, Donghai Liu, Zaiming Liu
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Journal of Mathematical Analysis and Applications, 2019 In this paper, we study the statistical estimation of the Gerber–Shiu function in the compound Poisson risk model perturbed by diffusion. This problem has been solved in [32] by the Fourier–Sinc series expansion method.
Wen Su, Yaodi Yong, Zhimin Zhang
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A Note on a Generalized Gerber–Shiu Discounted Penalty Function for a Compound Poisson Risk Model
Mathematics, 2019 In this paper, we propose a new generalized Gerber−Shiu discounted penalty function for a compound Poisson risk model, which can be used to study the moments of the ruin time.
Jiechang Ruan +5 more
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