Results 61 to 70 of about 9,702 (209)
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
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Omega risk model with tax [PDF]
, 2014 In this paper we study the Omega risk model with surplus-dependent tax payments in a time-homogeneous diffusion setting. The new model incorporates practical features from both the Omega risk model(Albrecher and Gerber and Shiu (2011)) and the risk model
Cui, Zhenyu
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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
wiley +1 more source
Exact joint laws associated with spectrally negative Levy processes and applications to insurance risk theory [PDF]
, 2013 We consider the spectrally negative Levy processes and determine the joint laws for the quantities such as the first and last passage times over a fixed level, the overshoots and undershoots at first passage, the minimum, the maximum and the duration of ...
Yin, Chuancun, Yuen, Kam Chuen
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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
wiley +1 more source
First passage problems for upwards skip-free random walks via the $\Phi,W,Z$ paradigm [PDF]
, 2018 We develop the theory of the $W$ and $Z$ scale functions for right-continuous (upwards skip-free) discrete-time discrete-space random walks, along the lines of the analogue theory for spectrally negative L\'evy processes.
Avram, Florin, Vidmar, Matija
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Optimal Dividend Payout Model with Risk Sensitive Preferences
, 2017 We consider a discrete-time dividend payout problem with risk sensitive shareholders. It is assumed that they are equipped with a risk aversion coefficient and construct their discounted payoff with the help of the exponential premium principle.
Bäuerle, Nicole, Jaśkiewicz, Anna
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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.
Ji, Lanpeng, Zhang, Chunsheng
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Stochastic areas of diffusions and applications in risk theory
, 2013 In this paper we study the stochastic area swept by a regular time-homogeneous diffusion till a stopping time. This unifies some recent literature in this area.
Cui, Zhenyu
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