Results 141 to 150 of about 2,757,858 (161)

The Gerber–Shiu discounted penalty function in the risk process with phase-type interclaim times

Applied Mathematics and Computation, 2010
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Jiandong Ren
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Extended Gerber–Shiu functions in a risk model with interest

Insurance: Mathematics and Economics, 2015
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A Note on Gerber–Shiu Functions with an Application

2014
We consider a classical compound Poisson risk model. The Laplace transform of the non-discounted penalty function (also called the Gerber–Shiu function) is inverted, giving an explicit formula. By a change of measure, we can also generalise the result to discounted penalty functions.
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The discrete stationary renewal risk model and the Gerber–Shiu discounted penalty function

Insurance: Mathematics and Economics, 2004
The paper considers a generalization of the discrete renewal risk model, the discrete stationary or discrete equilibrium renewal risk model. The main result of the paper is that it relates the Gerber-Shiu discounted penalty functions in the ordinary and the equilibrium discrete renewal risk models. The discount free model is also considered.
Pavlova, Kristina P., Willmot, Gordon E.
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On the analysis of the Gerber–Shiu discounted penalty function for risk processes with Markovian arrivals

Insurance: Mathematics and Economics, 2007
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Ahn, Soohan, Badescu, Andrei L.
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Estimating Gerber–Shiu functions from discretely observed Lévy driven surplus

Insurance: Mathematics and Economics, 2017
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Shimizu, Yasutaka, Zhang, Zhimin
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On the Gerber–Shiu function for a risk model with multi-layer dividend strategy

Statistics & Probability Letters, 2012
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The gerber-shiu expected discounted penalty function for Lévy insurance risk processes

Acta Mathematicae Applicatae Sinica, English Series, 2010
A Lévy risk model \(\{X_t\}\) without a Brownian component and with \(\mathbb{E}[X_1] > 0\) is considered, where the upward jumps are bounded by some constant \(-a \geq 0\). The goal is to calculate the Gerber--Shiu expected discounted penalty function \[ \Phi(x) = \mathbb{E}\bigl[ e^{-\delta T} 1_{T < \infty} w(X_{T-},|X_T|) \bigm| X_0 = x\bigr]\;, \]
Zhao, Xiang-Hua, Yin, Chuan-Cun
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Estimating the Gerber–Shiu function by Fourier–Sinc series expansion

Scandinavian Actuarial Journal, 2016
In this paper, we consider the nonparametric estimation of the Gerber–Shiu function in a compound Poisson risk model perturbed by diffusion. We present a more efficient estimator based on Fourier–Sinc series expansion. Our estimator is easily computed and has a faster convergence rate.
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The Gerber–Shiu discounted penalty function in the delayed renewal risk process with random income

Applied Mathematics and Computation, 2007
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Zhenhua Bao, Zhong-xing Ye
exaly   +3 more sources