On a general class of renewal risk process: analysis of the Gerber-Shiu function [PDF]
Advances in Applied Probability, 2005 We consider a compound renewal (Sparre Andersen) risk process with interclaim times that have a K n distribution (i.e. the Laplace transform of their density function is a ratio of two polynomials of degree at most
Li, Shuanming, Garrido, José
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The gerber-shiu discounted penalty function for pareto distributed claims. [PDF]
, 2014 The asymptotic of the Gerber-Shiu discounted penalty function in Poisson model with Pareto distributed claims is obtained. The asymptotic is obtained as initial surplus x tends to infinity.
Asanavičiūtė, Rasa,
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Gerber-Shiu analysis in some dependent Sparre Andersen risk models [PDF]
, 2010 In this thesis, we consider a generalization of the classical Gerber-Shiu function in various risk models. The generalization involves introduction of two new variables in the original penalty function including the surplus prior to ruin and the deficit ...
Woo, Jae-Kyung
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The Gerber-Shiu Expected Penalty Function for the Risk Model with Dependence and a Constant Dividend Barrier [PDF]
, 2014 We consider a compound Poisson risk model with dependence and a constant dividend barrier. A dependence structure between the claim amount and the interclaim time is introduced through a Farlie-Gumbel-Morgenstern copula.
Zaiming Liu, Dan Peng, Donghai Liu
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On a generalized Gerber-Shiu function in a compound Poisson model perturbed by diffusion [PDF]
Advances in Difference Equations, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Liu, Chaolin, Zhang, Zhimin
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Wavelets method for computing finite time Gerber-Shiu function
, 2020 In this thesis, a wavelets scheme is proposed to compute the finite time Gerber-Shiu function under a Levy subordinator model. Gerber-Shiu function, also known as expected discounted penalty function, was first introduced in 1998 and has then become a ...
Tse, Yiu Ki, 謝耀祺
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Gerber-Shiu Theory for Discrete Risk Processes in a Regime Switching Environment
, 2022 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 +2 more
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The Gerber-Shiu expected discounted penalty-reward function under an affine jump-diffusion model. [PDF]
We provide a unified analytical treatment of first passage problems under an affine state-dependent jump-diffusion model (with drift and volatility depending linearly on the state).
Avram, Florin, Usábel, Miguel A.
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Gerber-Shiu functionals for two-sided jumps risk processes perturbed by an a-stable motion [PDF]
, 2015 We study the Gerber-Shiu functional of two-sided jumps risk processes per- turbed by an a-stable motion for a wide a class of penalty functions. We obtain a formula for the Laplace transform of such functional which extend previous work of Furrer (1998),
EKATERINA TODOROVA KOLKOVSKA
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Computing Gerber-Shiu function in the classical risk model with interest using collocation method
, 2023 The Gerber-Shiu function is a classical research topic in actuarial science.However, exact solutions are only available in the literature for very specific cases where the claim amounts follow distributions such as the exponential distribution.
Zhang, Lianzeng, Yu, Zan
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