Phase-type approximations perturbed by a heavy-tailed component for the Gerber-Shiu function of risk processes with two-sided jumps [PDF]
, 2020 We consider in this paper a risk reserve process where the claims and gains arrive according to two independent Poisson processes. While the gain sizes are phase-type distributed, we assume instead that the claim sizes are phase-type perturbed by a heavy-
Z. Palmowski, E. Vatamidou
semanticscholar +1 more source
On a Discrete‐Time Risk Model with Random Income and a Constant Dividend Barrier
Journal of Mathematics, Volume 2021, Issue 1, 2021., 2021 In this paper, a discrete‐time risk model with random income and a constant dividend barrier is considered. Under such a dividend policy, once the insurer’s reserve hits the level b(b > 0), the excess of the reserve over b is paid off as dividends.
Zhenhua Bao +3 more
wiley +1 more source
On Computations in Renewal Risk Models—Analytical and Statistical Aspects
Risks, 2020 We discuss aspects of numerical methods for the computation of Gerber-Shiu or discounted penalty-functions in renewal risk models. We take an analytical point of view and link this function to a partial-integro-differential equation and propose a ...
Josef Anton Strini, Stefan Thonhauser
doaj +1 more source
A Note on a Modified Parisian Ruin Concept
Risks, 2023 Traditionally, Parisian ruin is said to occur when the insurer’s surplus process has stayed below level zero continuously for a certain grace period. Inspired by this concept, in this paper we propose a modification by assuming that once a grace period ...
Eric C. K. Cheung, Jeff T. Y. Wong
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Premium Valuation of the Pension Benefit Guaranty Corporation with Regime Switching
Mathematical Problems in Engineering, Volume 2021, Issue 1, 2021., 2021 The Pension Benefit Guaranty Corporation (PBGC) provides insurance coverage for single‐employer and multiemployer pension plans in private sector. It has played an important role in protecting the retirement security for over 1.5 million people since it was established about half a decade ago.
Peng Li +4 more
wiley +1 more source
On a Fractional Stochastic Risk Model with a Random Initial Surplus and a Multi-Layer Strategy
Mathematics, 2022 The paper deals with a fractional time-changed stochastic risk model, including stochastic premiums, dividends and also a stochastic initial surplus as a capital derived from a previous investment.
Enrica Pirozzi
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On a Periodic Capital Injection and Barrier Dividend Strategy in the Compound Poisson Risk Model
Mathematics, 2020 In this paper, we assume that the reserve level of an insurance company can only be observed at discrete time points, then a new risk model is proposed by introducing a periodic capital injection strategy and a barrier dividend strategy into the ...
Wenguang Yu +8 more
doaj +1 more source
An algebraic operator approach to the analysis of Gerber–Shiu functions [PDF]
Insurance: Mathematics and Economics, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Albrecher, H. +4 more
openaire +1 more source
A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium [PDF]
, 2011 In a general Sparre Andersen risk model with surplus-dependent premium income, the generalization of Gerber-Shiu function proposed by Cheung et al. (2010a) is studied.
Cheung, ECK
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On a Risk Model with Surplus-dependent Premium and Tax Rates [PDF]
, 2012 In this paper, the compound Poisson risk model with surplus-dependent premium rate is analyzed in the taxation system proposed by Albrecher and Hipp (Blätter der DGVFM 28(1):13-28, 2007).
Cheung, ECK, Landriault, D
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