Results 11 to 20 of about 2,757,858 (161)
An algebraic operator approach to the analysis of Gerber–Shiu functions [PDF]
Insurance: Mathematics and Economics, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Albrecher, H. +4 more
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The Gerber-Shiu discounted penalty function: A review from practical perspectives [PDF]
Insurance: Mathematics and Economics, 2023 The Gerber-Shiu function provides a unified framework for the evaluation of a variety of risk quantities. Ever since its establishment, it has attracted constantly increasing interests in actuarial science, whereas the conventional research has been focused on finding analytical or semi-analytical solutions, either of which is rarely available, except ...
Yue He +3 more
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Gerber–Shiu Function in a Class of Delayed and Perturbed Risk Model with Dependence [PDF]
Risks, 2020 This paper considers the risk model perturbed by a diffusion process with a time delay in the arrival of the first two claims and takes into account dependence between claim amounts and the claim inter-occurrence times. Assuming that the time arrival of the first claim follows a generalized mixed equilibrium distribution, we derive the integro ...
Franck Adékambi, Essodina Takouda
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Gerber–Shiu analysis with a generalized penalty function
Scandinavian Actuarial Journal, 2010 A generalization of the usual penalty function is proposed, and a defective renewal equation is derived for the Gerber–Shiu discounted penalty function in the classical risk model. This is used to derive the trivariate distribution of the deficit at ruin, the surplus prior to ruin, and the surplus immediately following the second last claim before ruin.
Woo, JK +3 more
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Structural properties of Gerber–Shiu functions in dependent Sparre Andersen models
Insurance: Mathematics and Economics, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Landriault, D +3 more
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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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The Markovian Shot-noise Risk Model: A Numerical Method for Gerber-Shiu Functions. [PDF]
Methodol Comput Appl Probab, 2023 AbstractIn this paper, we consider discounted penalty functions, also called Gerber-Shiu functions, in a Markovian shot-noise environment. At first, we exploit the underlying structure of piecewise-deterministic Markov processes (PDMPs) to show that these penalty functions solve certain partial integro-differential equations (PIDEs).
Pojer S, Thonhauser S.
europepmc +3 more sources
Abstract and Applied Analysis, 2014 This paper studies the first passage times to constant boundaries for mixed-exponential jump diffusion processes. Explicit solutions of the Laplace transforms of the distribution of the first passage times, the joint distribution of the first passage ...
Chuancun Yin +3 more
doaj +1 more source
Mathematical Problems in Engineering, Volume 2020, Issue 1, 2020., 2020 Risk measures based on the trading option prices in the market are forward‐looking, such as VIX. We propose a new method combining distorted lognormal distribution with interpolation to price options accurately and then estimate tail risk. Our method can price the option of any strikes between the maximum and the minimum value of strikes in the real ...
Yan Chen +3 more
wiley +1 more source
Compound Binomial Model with Batch Markovian Arrival Process
Mathematical Problems in Engineering, Volume 2020, Issue 1, 2020., 2020 A compound binomial model with batch Markovian arrival process was studied, and the specific definitions are introduced. We discussed the problem of ruin probabilities. Specially, the recursion formulas of the conditional finite‐time ruin probability are obtained and the numerical algorithm of the conditional finite‐time nonruin probability is proposed.
Fang Jin +3 more
wiley +1 more source