Results 31 to 40 of about 182 (148)
Threshold Estimation for a Spectrally Negative Lévy Process
Mathematical Problems in Engineering, Volume 2020, Issue 1, 2020., 2020 Consider a spectrally negative Lévy process with unknown diffusion coefficient and Lévy measure and suppose that the high frequency trading data is given. We use the techniques of threshold estimation and regularized Laplace inversion to obtain the estimator of survival probability for a spectrally negative Lévy process.
Honglong You, Chuncun Yin, Wenguang Yu
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The Gerber–Shiu discounted penalty function in the stationary renewal risk model [PDF]
Insurance: Mathematics and Economics, 2003 The aim of this article is to investigate various properties associated with the stationary renewal risk process. In the introductory Section 1, the authors review the ordinary renewal risk model, the stationary (equilibrium) renewal risk process, the invariance property between the stationary renewal risk and the classical models, the discounted ...
Willmot, Gordon E., Dickson, David C. M.
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An Uncertain Alternating Renewal Insurance Risk Model
Mathematical Problems in Engineering, Volume 2020, Issue 1, 2020., 2020 The claim process in an insurance risk model with uncertainty is traditionally described by an uncertain renewal reward process. However, the claim process actually includes two processes, which are called the report process and the payment process, respectively.
Jia Zhai +4 more
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An Optimal Portfolio Problem of DC Pension with Input‐Delay and Jump‐Diffusion Process
Mathematical Problems in Engineering, Volume 2020, Issue 1, 2020., 2020 In this paper, an optimal portfolio control problem of DC pension is studied where the time interval between the implementation of investment behavior and its effectiveness (hereafter input‐delay) is particularly focused. There are two assets available for investment: a risk‐free cash bond and a risky stock with a jump‐diffusion process. And the wealth
Weixiang Xu, Jinggui Gao, Wenguang Yu
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Pricing of Margin Call Stock Loan Based on the FMLS
Mathematical Problems in Engineering, Volume 2020, Issue 1, 2020., 2020 In common stock loan, lenders face the risk that their loans will not be repaid if the stock price falls below loan, which limits the issuance and circulation of stock loans. The empirical test suggests that the log‐return series of stock price in the US market reject the normal distribution and admit instead a subclass of the asymmetric distribution ...
Kaili Xiang +3 more
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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 risk model with stochastic premiums and a multi-layer dividend strategy
Modern Stochastics: Theory and Applications, 2019 The paper deals with a generalization of the risk model with stochastic premiums where dividends are paid according to a multi-layer dividend strategy. First of all, we derive piecewise integro-differential equations for the Gerber–Shiu function and the ...
Olena Ragulina
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Numerical Method for a Markov-Modulated Risk Model with Two-Sided Jumps
Abstract and Applied Analysis, 2012 This paper considers a perturbed Markov-modulated risk model with two-sided jumps, where both the upward and downward jumps follow arbitrary distribution. We first derive a system of differential equations for the Gerber-Shiu function.
Hua Dong, Xianghua Zhao
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PHASE-TYPE APPROXIMATION OF THE GERBER-SHIU FUNCTION
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)
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