On a generalization of the Gerber–Shiu function to path-dependent penalties
Insurance: Mathematics and Economics, 2010zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Biffis, Enrico, Morales, Manuel
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Estimating the Gerber–Shiu function in a Lévy risk model by Laguerre series expansion
Journal of Computational and Applied Mathematics, 2019zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Zhimin Zhang
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Gerber–Shiu function for the discrete inhomogeneous claim case
International Journal of Computer Mathematics, 2012The discrete time risk model with non-identically distributed claims is investigated. Finite and infinite time recursive Gerber–Shiu functions are considered and the algorithm of calculation guidelines is written. Examples of ruin probability and Gerber–Shiu function behaviour are shown.
Eugenija Bieliauskiene, Jonas Siaulys
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On Gerber–Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function [PDF]
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.
Zbigniew Palmowski
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On the Gerber–Shiu function and change of measure
Insurance: Mathematics and Economics, 2010zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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On the Gerber–Shiu function with random discount rate
Communications in Statistics - Theory and Methods, 2016ABSTRACTIn this paper, we study the Gerber–Shiu (G-S) function for the classical risk model, in which the discount rate is generalized from a constant to a random variable. The discounted interest force accumulated process is modeled by a Poisson process and a Gaussian process for the G-S function. In terms of the standard techniques in ruin theory, we
Houchun Wang, Nengxiang Ling
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On the Gerber-Shiu discounted penalty function for subexponential claims
Lithuanian Mathematical Journal, 2006zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Šiaulys, J., Asanavičiūutė, R.
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Estimating the Gerber-Shiu Function in Lévy Insurance Risk Model by Fourier-Cosine Series Expansion
Mathematics, 2021 In this paper, we propose an estimator for the Gerber–Shiu function in a pure-jump Lévy risk model when the surplus process is observed at a high frequency.
Yunyun Wang, Wen Su
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Computing the Gerber–Shiu function by frame duality projection
Scandinavian Actuarial Journal, 2018Inspired by some works of Kirkby, J. L. [2015. Efficient option pricing by frame duality with the fast Fourier transform. SIAM Journal on Financial Mathematics 6(1), 713–747; 2016.
Wenyuan Wang, Zhimin Zhang
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On the Gerber–Shiu discounted penalty function in a risk model with delayed claims
Journal of the Korean Statistical Society, 2012zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Zou, Wei, Xie, Jie-hua
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