Results 31 to 40 of about 2,757,858 (161)
A Note on Gerber–Shiu Function with Delayed Claim Reporting under Constant Force of Interest
, 2022 In this paper, we analyze the Gerber–Shiu discounted penalty function for a constant interest rate in delayed claim reporting times. Using the Poisson claim arrival scenario, we derive the differential equation of the Laplace transform of the ...
Kokou Essiomle, Franck Adekambi
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Journal of Futures Markets, Volume 45, Issue 8, Page 917-945, August 2025.ABSTRACT This paper investigates the economic consequences for Bitcoin options' prices of a long memory in conditional volatility and conditional non‐normality of Bitcoin returns. The arbitrage‐free prices of Bitcoin options are determined by market consistent valuation and the conditional Esscher transform. Monte Carlo estimates for option prices from
Tak Kuen Siu
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Does Climate Change Risk Impact Insurance Credit Risk? Cross Country Evidence
Business Strategy and the Environment, Volume 34, Issue 5, Page 5401-5418, July 2025.ABSTRACT While climate change poses a significant financial risk to the insurance industry, research has not yet examined the impact on the insurer's credit risk. This study investigates the impact of climate change risks on credit risk for insurance firms.
Jassem Alokla +2 more
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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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An introduction to Gerber-Shiu analysis [PDF]
, 2011 A valuable analytical tool to understand the event of ruin is a Gerber-Shiu discounted penalty function. It acts as a unified means of identifying ruin-related quantities which may help insurers understand their vulnerability ruin.
Huynh, Mirabelle
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A Note on a Generalized Gerber–Shiu Discounted Penalty Function for a Compound Poisson Risk Model
, 2019 In this paper, we propose a new generalized Gerber–Shiu discounted penalty function for a compound Poisson risk model, which can be used to study the moments of the ruin time.
Yihan Sun +5 more
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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
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The gerber-shiu discounted penalty function for weibul distributed claims. [PDF]
, 2014 In this work the main member of the Gerber-Shiu discounted penalty function in a classic collective risk model with Weibull distribution (parameters η = const, 0< η
Grušienė, Giedrė,
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Gerber-Shiu Function in a Discrete-time Risk Model with Dividend Strategy
Asian Journal of Probability and Statistics, 2021 In this paper, a discrete-time risk model with dividend strategy and a general premium rate is considered. Under such a strategy, once the insurer’s surplus hits a constant dividend barrier , dividends are paid off to shareholders at instantly. Using the roots of a generalization of Lundberg’s fundamental equation and the general theory on difference ...
Zhenhua Bao, Junqing Huang
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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 ...
Ramsden, Lewis +3 more
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