Results 71 to 80 of about 9,702 (209)

Risk Measures for Classical and Perturbed Risk Processes - a Survey [PDF]

, 2011
2000 Mathematics Subject Classification: 60B10, 60G17, 60G51, 62P05.In this review paper we consider several risk measures in actuarial mathematics, such as the ruin probability, the ruin time, the severity of ruin, the surplus immediately before ruin ...
T. Kolkovska, Ekaterina
core  

Gerber-Shiu theory for discrete risk processes in a regime switching environment [PDF]

In this paper we develop the Gerber-Shiu theory for the classic and dual discrete risk processes in a Markovian (regime switching) environment. In particular, by expressing the Gerber-Shiu function in terms of potential measures of an upward (downward ...
Palmowski, Zbigniew, Papaioannou, Apostolos D, Ramsden, Lewis   +2 more
core   +2 more sources

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  

Gerber-Shiu function in threshold insurance risk models

, 2012
published_or_final_version ; Statistics and Actuarial Science ; Master ; Master of ...
openaire   +2 more sources

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

The Effect of a Threshold Proportional Reinsurance Strategy on Ruin Probabilities [PDF]

In the context of a compound Poisson risk model, we define a threshold proportional reinsurance strategy: A retention level k1 is applied whenever the reserves are less than a determinate threshold b, and a retention level k2 is applied in the other case.
Anna Castaner, M. Merce Claramunt, Maite Marmol   +2 more
core   +1 more source

Deficit at ruin with threshold proportional reinsurance [PDF]

, 2019
In this paper, we focus our analysis on the distribution function and the moments of the deficit at ruin in a model with a threshold proportional reinsurance strategy using the Gerber-Shiu function. This strategy considers a proportional reinsurance, but
Castañer, Anna, Claramunt Bielsa, M. Mercè, Mármol, Maite   +2 more
core  

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

Gerber Shiu Function of Markov Modulated Delayed By-Claim Type Risk Model with Random Incomes

, 2016
This paper analyses the Gerber-Shiu penalty function of a Markov modulated risk model with delayed by-claims and random incomes. It is assumed that each main claim will also generate a by-claim and the occurrence of the by-claim may be delayed depending ...
G. Shija, M. J. Jacob
semanticscholar   +1 more source

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

, 2015
In the spirit of a publication by Cheung in 2013 we study generalized Gerber-Shiu functions in the compound Poisson risk model perturbed by diffusion.
Chaolin Liu, Zhimin Zhang
semanticscholar   +1 more source