Results 41 to 50 of about 182 (148)
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.
Olena Ragulina
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Journal of Futures Markets, Volume 45, Issue 8, Page 917-945, August 2025.ABSTRACT This paper investigates the economic consequences for Bitcoin options' prices of a long memory in conditional volatility and conditional non‐normality of Bitcoin returns. The arbitrage‐free prices of Bitcoin options are determined by market consistent valuation and the conditional Esscher transform. Monte Carlo estimates for option prices from
Tak Kuen Siu
wiley +1 more source
The Gerber–Shiu penalty functions for two classes of renewal risk processes
Journal of Computational and Applied Mathematics, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lanpeng Ji, Chunsheng Zhang
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Does Climate Change Risk Impact Insurance Credit Risk? Cross Country Evidence
Business Strategy and the Environment, Volume 34, Issue 5, Page 5401-5418, July 2025.ABSTRACT While climate change poses a significant financial risk to the insurance industry, research has not yet examined the impact on the insurer's credit risk. This study investigates the impact of climate change risks on credit risk for insurance firms.
Jassem Alokla +2 more
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On the Discounted Penalty Function for Claims Having Mixed Exponential
Nonlinear Analysis, 2006 It is considered the classical risk model with mixed exponential claim sizes. Using known results it is obtained the explicit expression of the GerberShiu discounted penalty function ψ(x,δ) = E e −δT 1(T < ∞) , by some infinite series. Here δ > 0 is the
J. Šiaulys, J. Kočetova
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International Journal of Mathematics and Mathematical Sciences, Volume 2025, Issue 1, 2025.In this paper, we reformulate the classical risk model to consider economic factors such as taxation and real force of interest. In the model, the premiums are assumed to be compounded by increasing annuities over some time. The loss process is also presumed to be two mixed stochastic processes with weights that sum to 1.
Calvine Odiwuor +4 more
wiley +1 more source
Achieving fairness in the food system
Food and Energy Security, Volume 13, Issue 4, July/August 2024.Abstract The challenge of feeding an additional 2 billion people by 2050 is one of the most pressing issues of our generation. The required changes in the current food system must be achieved while reducing the negative environmental impacts of current farming practices on our climate and biodiversity and avoiding deforestation.
Helen Onyeaka +13 more
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On a Perturbed Risk Model with Time‐Dependent Claim Sizes
Journal of Mathematics, Volume 2024, Issue 1, 2024.We consider a risk model perturbed by a Brownian motion, where the individual claim sizes are dependent on the inter‐claim times. We study the Gerber–Shiu functions when ruin is due to a claim or the jump‐diffusion process. Integro‐differential equations and Laplace transforms satisfied by the Gerber–Shiu functions are obtained.
Longfei Wei +4 more
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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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On a general class of renewal risk process: analysis of the Gerber-Shiu function [PDF]
Advances in Applied Probability, 2005 We consider a compound renewal (Sparre Andersen) risk process with interclaim times that have a K n distribution (i.e. the Laplace transform of their density function is a ratio of two polynomials of degree at most
Li, Shuanming, Garrido, José
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