Web对Gerber-Shiu折现罚金函数的研究是破产理论主要研究的问题之一，它为研究破产前瞬间资产余额和破产时赤字的联合密度提供了统一的方法.对此问题的研究始于Gerberand Shiu(1998)[3];Lin(2003)研究了时间间隔为Erlang(2);李平(2013)[4]研究了双Poisson风险模型下Gerber-Shiu函数. WebThis paper extends the work of Yuen et al. (2013), who obtained explicit results for the discount-free Gerber–Shiu function for a compound binomial risk model in the presence of delayed claims and a randomized dividend strategy with a zero threshold level. Specifically, we establish a recursion method for computing the Gerber–Shiu expected discounted …
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WebJul 24, 2015 · Analytic expressions for the Gerber–Shiu expected discounted penalty function and the expected discounted tax payments until ruin are derived. The Cramér-Lundberg asymptotic formula is shown to hold true for the Gerber–Shiu function, and it differs from the case without tax by a multiplicative constant. WebSep 7, 2024 · Abstract: We approximate Gerber–Shiu functions with heavy-tailed claims in a recently introduced risk model having both interclaim times and premiums depending on the claim sizes. We apply a ...
WebThis paper studies the statistical estimation of the Gerber-Shiu discounted penalty functions in a general spectrally negative Lévy risk model. Suppose that the claims process and the surplus process can be observed at a sequence of discrete time points. Using the observed data, the Gerber-Shiu functions are estimated by the Laguerre … Web5.4 Gerber–Shiu Measure and Gambler’s Ruin. We now have all the tools we need to provide a characterisation of the Gerber–Shiu measure ( 1.6) in terms of scale …
WebMar 1, 2024 · 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 … WebFeb 1, 2010 · The Expected Discounted Penalty Function (EDPF) was introduced in a series of now classical papers (Gerber and Shiu, 1997, Gerber and Shiu, 1998a, Gerber and Shiu, 1998b).Motivated by applications in option pricing and risk management, and inspired by recent developments in fluctuation theory for Lévy processes, we study an …
Michael R. Powers and Gerber and Shiu analyzed the behavior of the insurer's surplus through the expected discounted penalty function, which is commonly referred to as Gerber-Shiu function in the ruin literature and named after actuarial scientists Elias S.W. Shiu and Hans-Ulrich Gerber. It is arguable whether the … See more In actuarial science and applied probability, ruin theory (sometimes risk theory or collective risk theory) uses mathematical models to describe an insurer's vulnerability to insolvency/ruin. In such models key … See more The theoretical foundation of ruin theory, known as the Cramér–Lundberg model (or classical compound-Poisson risk model, classical risk process or Poisson risk process) was introduced in 1903 by the Swedish actuary Filip Lundberg. Lundberg's work … See more • Financial risk • Volterra integral equation#Ruin theory See more • Gerber, H.U. (1979). An Introduction to Mathematical Risk Theory. Philadelphia: S.S. Heubner Foundation Monograph Series 8. • Asmussen S., Albrecher H. (2010). Ruin Probabilities, 2nd Edition. Singapore: World Scientific Publishing Co. See more E. Sparre Andersen extended the classical model in 1957 by allowing claim inter-arrival times to have arbitrary distribution functions. See more • Compound-Poisson risk model with constant interest • Compound-Poisson risk model with stochastic interest • Brownian-motion risk model See more
WebJul 7, 2024 · Su et al. proposed an estimator for Gerber-Shiu function by Laguerre series expansion. For the estimation of ruin probability and Gerber-Shiu function in the Lévy … lockheed martin investor relationsWebFeb 26, 2024 · In this paper, we consider the risk model perturbed by a diffusion process. We assume an Erlang(n) risk process, (\(n=1,2,\ldots\)) to study the Gerber-Shiu discounted penalty function when ruin is due to claims or oscillations by including a dependence structure between claim sizes and their occurrence time.We derive the integro-differential … lockheed martin iron man suitWebZ is an harmonic function of the L´evy process (like W), corresponding to exterior boundary conditions w(x) = eθx (9), and is also a particular case of a ”smooth Gerber-Shiu function” Sw. The concept of Gerber-Shiu function was introduced in [GS98]; we will use it however here in the more restricted sense of [APP15], who india re c\\u0026i open access market trendsWebThe Gerber–Shiu (G-S) function, first introduced in Gerber and Shiu , and other risk related quantities, such as the moments of the expected dividend payments have been extensively studied for the aforementioned models under the multi-layer dividend strategy based on a layer-by-layer recursive approach, for which certain disadvantages have ... lockheed martin isso payWebGerber-Shiu penalty function of the process (4). Weak approximations in risk theory have been used in Iglehart (1969), Grandell (1977), and recently in Sarkar and Sen (2005) to obtain the Gerber-Shiu function for (3) in the case = 2, and in Furrer et al. (1997) to estimate ruin probabilities within a nite time horizon. 2 Preliminaries and main ... lockheed martin investor eventsWeb豆丁网是面向全球的中文社会化阅读分享平台，拥有商业,教育,研究报告,行业资料,学术论文,认证考试,星座,心理学等数亿实用 ... india red dot on headWebJan 1, 2024 · In particular, we find that the expected discounted penalty function introduced by Gerber and Shiu [1] has become a standard tool for analyzing ruin problems, and it is … india refineries map