Results 41 to 50 of about 9,702 (209)
Advances in Difference Equations, 2021 In this paper, we model the insurance company’s surplus by a compound Poisson risk model, where the surplus process can only be observed at random observation times.
Wenguang Yu +5 more
doaj +1 more source
On a Gerber–Shiu type function and its applications in a dual semi-Markovian risk model [PDF]
, 2014 In this paper, we consider a dual risk process which can be used to model the surplus of a business that invests money constantly and earns gains randomly in both time and amount.
Cheung, ECK, Liu, L
core +1 more source
Mathematical Problems in Engineering, Volume 2020, Issue 1, 2020., 2020 Risk measures based on the trading option prices in the market are forward‐looking, such as VIX. We propose a new method combining distorted lognormal distribution with interpolation to price options accurately and then estimate tail risk. Our method can price the option of any strikes between the maximum and the minimum value of strikes in the real ...
Yan Chen +3 more
wiley +1 more source
Lévy insurance risk process with Poissonian taxation [PDF]
, 2017 The idea of taxation in risk process was first introduced by Albrecher and Hipp (2007), who suggested that a certain proportion of the insurer's income is paid immediately as tax whenever the surplus process is at its running maximum.
Cheung, ECK, Yang, H, Zhang, Z
core +1 more source
Compound Binomial Model with Batch Markovian Arrival Process
Mathematical Problems in Engineering, Volume 2020, Issue 1, 2020., 2020 A compound binomial model with batch Markovian arrival process was studied, and the specific definitions are introduced. We discussed the problem of ruin probabilities. Specially, the recursion formulas of the conditional finite‐time ruin probability are obtained and the numerical algorithm of the conditional finite‐time nonruin probability is proposed.
Fang Jin +3 more
wiley +1 more source
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
wiley +1 more source
On orderings and bounds in a generalized Sparre Andersen risk model [PDF]
, 2011 A generalization of the Gerber-Shiu function proposed by (Cheung et al., Scand. Actuarial J., in press, 2010) is used to derive some ordering properties for certain ruin-related quantities in a Sparre Andersen type risk model.
Albrecher +18 more
core +1 more source
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
wiley +1 more source
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
wiley +1 more source
On the Optimal Dividend Problem for Insurance Risk Models with Surplus-Dependent Premiums [PDF]
, 2015 This paper concerns an optimal dividend distribution problem for an insurance company with surplus-dependent premium. In the absence of dividend payments, such a risk process is a particular case of so-called piecewise deterministic Markov processes. The
Marciniak, Ewa, Palmowski, Zbigniew
core +2 more sources