Results 51 to 60 of about 182 (148)

On Gerber–Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function [PDF]

The Annals of Applied Probability, 2015
This paper concerns an optimal dividend distribution problem for an insurance company which risk process evolves as a spectrally negative L\'{e}vy process (in the absence of dividend payments). The management of the company is assumed to control timing and size of dividend payments.
Avram, F, Palmowski, Z, Pistorius, MR
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Asymptotic behavior of the Gerber–Shiu discounted penalty function in the Erlang(2) risk process with subexponential claims

Nonlinear Analysis, 2011
We investigate the asymptotic behavior of the Gerber–Shiu discounted penalty function ɸ(u) = E(e−δT 1{T
Jelena Kočetova, Jonas Šiaulys
doaj  

On a Gerber–Shiu type function and its applications in a dual semi-Markovian risk model [PDF]

Applied Mathematics and Computation, 2014
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Cheung, ECK, Liu, L
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An Optional Semimartingales Approach to Risk Theory

Risks
This paper aims to develop optional semimartingale methods in risk theory to allow for a larger class of risk models. Optional semimartingales are left-continuous with right-limit stochastic processes defined on a probability space where the usual ...
Mahdieh Aminian Shahrokhabadi, Alexander Melnikov, Andrey Pak   +2 more
doaj   +1 more source

On a generalized Gerber-Shiu function in a compound Poisson model perturbed by diffusion [PDF]

Advances in Difference Equations, 2015
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Liu, Chaolin, Zhang, Zhimin
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On the Multi-Periodic Threshold Strategy for the Spectrally Negative Lévy Risk Model

Risks
As a crucial modeling tool for stochastic financial markets, the Lévy risk model effectively characterizes the evolution of risks during enterprise operations.
Sijia Shen, Zijing Yu, Zhang Liu
doaj   +1 more source

Moving-Boundary Fluctuation Analysis: Premium Drift, Ladder Structure, and Ruin in Phase-Type Cumulative Shock Models

Mathematics
We extend the phase-tagged fluctuation framework for cumulative shock models from a fixed failure threshold to a linearly moving boundary u0+cτn, the premium drift regime that underlies insurance ruin theory.
Lotfi Tadj
doaj   +1 more source

Gerber-Shiu functionals at Parisian ruin for Lévy insurance risk processes

, 2014
Inspired by works of Landriault et al. \cite{LRZ-0, LRZ}, we study discounted penalties at ruin for surplus dynamics driven by a spectrally negative Lévy process with Parisian implementation delays. To be specific, we study the so-called Gerber-Shiu functional for a ruin model where at each time the surplus process goes negative, an independent ...
Baurdoux, E. J., Pardo, J. C., Pérez, J. L., Renaud, J. -F.   +3 more
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The Gerber–Shiu discounted penalty functions for a risk model with two classes of claims

Journal of Computational and Applied Mathematics, 2009
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Zhang, Zhimin, Li, Shuanming, Yang, Hu
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The Non-Coding RNA Journal Club: Highlights on Recent Papers-12. [PDF]

Noncoding RNA, 2023
Shiu PKT, Ilieva M, Holm A, Uchida S, DiStefano JK, Bronisz A, Yang L, Asahi Y, Goel A, Yang L, Nuthanakanti A, Serganov A, Alahari SK, Lin C, Pardini B, Naccarati A, Jin J, Armanios B, Zhong XB, Sideris N, Bayraktar S, Castellano L, Gerber AP, Lin H, Conn SJ, Sleem DMM, Timmons L.   +26 more
europepmc   +1 more source