Results 21 to 30 of about 9,702 (209)
Estimating the Gerber-Shiu Expected Discounted Penalty Function for Lévy Risk Model [PDF]
Discrete Dynamics in Nature and Society, 2019 This paper studies the statistical estimation of the Gerber-Shiu discounted penalty functions in a general spectrally negative Lévy risk model. Suppose that the claims process and the surplus process can be observed at a sequence of discrete time points.
Yujuan Huang +3 more
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PHASE-TYPE APPROXIMATION OF THE GERBER-SHIU FUNCTION [PDF]
Journal of the Operations Research Society of Japan, 2017 16 pages. Forthcoming in the Journal of the Operations Research Society of Japan, vol. 60, no. 3, 2017 (special issue of the 60th anniversary of the Operations Research Society of Japan)
K. Yamazaki
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Gerber-Shiu Function in a Discrete-time Risk Model with Dividend Strategy
Asian Journal of Probability and Statistics, 2021 In this paper, a discrete-time risk model with dividend strategy and a general premium rate is considered. Under such a strategy, once the insurer’s surplus hits a constant dividend barrier , dividends are paid off to shareholders at instantly. Using the roots of a generalization of Lundberg’s fundamental equation and the general theory on difference ...
Zhenhua Bao, Junqing Huang
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The risk model with stochastic premiums, dependence and a threshold dividend strategy
Modern Stochastics: Theory and Applications, 2017 The paper deals with a generalization of the risk model with stochastic premiums where dependence structures between claim sizes and inter-claim times as well as premium sizes and inter-premium times are modeled by Farlie--Gumbel--Morgenstern copulas. In
Ragulina, Olena
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Multi-Objective Optimization of Dental Implant Designs With Multi-Recessed Holes: Insights From Static and Dynamic Finite Element Analysis. [PDF]
Int J Numer Method Biomed EngA novel dental implant with multi‐recessed holes was optimized using FEA and advanced multi‐objective techniques. The design achieved a 28.1% increase in fatigue safety and a 37.1% reduction in micromotion, demonstrating enhanced structural integrity and osseointegration under static and dynamic loads.
Chou IC +6 more
europepmc +2 more sources
Do pension buyouts help or hurt employees (retirees)?
Journal of Risk and Insurance, Volume 90, Issue 3, Page 667-702, September 2023., 2023 Abstract This article compares expected pension default losses of employees and retirees before and after pension buyouts. The comparisons are made using a stochastic model calibrated with market data. The analysis shows that the lower protection level provided by the State Guarantee Association relative to that of the Pension Benefit Guaranty ...
Yijia Lin +2 more
wiley +1 more source
Journal of Futures Markets, Volume 43, Issue 7, Page 925-950, July 2023., 2023 Abstract The hedging of European contingent claims in a continuous‐time hidden Markov‐regime‐switching diffusion model is discussed using stochastic flows of diffeomorphisms and Monte‐Carlo simulations. Specifically, the price dynamics of an underlying risky asset are governed by a continuous‐time hidden Markov‐modulated local‐volatility model ...
Robert J. Elliott, Tak Kuen Siu
wiley +1 more source
Scandinavian Journal of Statistics, Volume 50, Issue 2, Page 638-664, June 2023., 2023 Abstract Continuous‐time autoregressive processes have been applied successfully in many fields and are particularly advantageous in the modeling of irregularly spaced or high‐frequency time series data. A convenient nonlinear extension of this model are continuous‐time threshold autoregressions (CTAR).
Daniel Lingohr, Gernot Müller
wiley +1 more source
Recursive Approaches for Multi-Layer Dividend Strategies in a Phase-Type Renewal Risk Model
Risks, 2022 In this paper we consider a risk model with two independent classes of insurance risks in the presence of a multi-layer dividend strategy. We assume that both of the claim number processes are renewal processes with phase-type inter-arrival times.
Apostolos D. Papaioannou, Lewis Ramsden
doaj +1 more source
On the Expected Discounted Penalty Function Using Physics‐Informed Neural Network
Journal of Mathematics, Volume 2023, Issue 1, 2023., 2023 We study the expected discounted penalty at ruin under a stochastic discount rate for the compound Poisson risk model with a threshold dividend strategy. The discount rate is modeled by a Poisson process and a standard Brownian motion. By applying the differentiation method and total expectation formula, we obtain an integrodifferential equation for ...
Jiayu Wang +2 more
wiley +1 more source