Analysis of the generalized Gerber-Shiu function in discrete-time dependent Sparre Andersen model
, 2016 There is a vast literature in the analysis of the insurer's surplus process under the Sparre Andersen risk model. Since it is cumbersome to calculate distributions of ruin-related quantities in the continuous-time model, we shall consider the discrete ...
Qi, Xiaozhen, 亓孝真
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The Non-Coding RNA Journal Club: Highlights on Recent Papers-12. [PDF]
Noncoding RNA, 2023 Shiu PKT +26 more
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Gerber-Shiu functionals at Parisian ruin for Lévy insurance risk processes
, 2014 Inspired by works of Landriault et al. \cite{LRZ-0, LRZ}, we study discounted penalties at ruin for surplus dynamics driven by a spectrally negative Lévy process with Parisian implementation delays. To be specific, we study the so-called Gerber-Shiu functional for a ruin model where at each time the surplus process goes negative, an independent ...
Baurdoux, E. J. +3 more
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On Gerber-Shiu equation with Erlang claims
, 2005 In the classical Poisson risk model, we find an analytical solution of Gerber-Shiu equation when the claim size distribution is an Erlang, by mean of Laplace ...
PIETROLUONGO M., CARLEO, Alessandra
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The calculation of gerber-shiu penalty function for pareto claims. [PDF]
, 2011 In this paper we consider Gerber-Shiu discounted penalty function in the classical risk model for Pareto claims. Our main goal is to construct an algorithm for obtaining values of the discounted penalty function (considering penalty function w=1). Due to
Janušauskas, Arūnas,
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Gerber-Shiu function in threshold insurance risk models
, 2012 published_or_final_version ; Statistics and Actuarial Science ; Master ; Master of ...
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Ruin Analysis on a New Risk Model with Stochastic Premiums and Dependence Based on Time Series for Count Random Variables. [PDF]
Entropy (Basel), 2023 Guan L, Wang X.
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Gerber-Shiu analysis of a risk model with capital injections [PDF]
, 2016 We consider the risk model with capital injections studied by Nie et al. (Ann Actuar Sci 5:195–209, 2011; Scand Actuar J 2015:301–318, 2015). We construct a Gerber–Shiu function and show that whilst this tool is not efficient for finding the ultimate ...
Dickson, David C. M. +3 more
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Regulation of regeneration in Arabidopsis thaliana. [PDF]
aBIOTECH, 2023 Islam MK, Mummadi ST, Liu S, Wei H.
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Asymptotic behavior of the Gerber–Shiu discounted penalty function in the Erlang(2) risk process with subexponential claims [PDF]
, 2011 We investigate the asymptotic behavior of the Gerber–Shiu discounted penalty function ɸ(u) = E(e−δT 1{T <∞} | U(0) = u), where T denotes the time to ruin in the Erlang(2) risk process.
Jelena Kočetova +5 more
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