Estimating the Gerber-Shiu Expected Discounted Penalty Function for Lévy Risk Model

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

On the Gerber-shiu Penalty Function for the Compound Binomial Risk Model with Delayed Claims

Abstract: In this paper we consider the Gerber-Shiu penalty function in the compound binomial risk model with time-correlated claims. It is assumed that each main claim will induce a by-claim but the occurrence of the by-claim may be delayed with a certain probability. Formulas for the probability generating function of the penalty function are obtained, together with the expression for the pen...

متن کامل

The Compound Poisson Surplus Model with Interest and Liquid Reserves: Analysis of the Gerber-Shiu Discounted Penalty Function

We modify the compound Poisson surplus model for an insurer by including liquid reserves and interest on the surplus. When the surplus of an insurer is below a fixed level, the surplus is kept as liquid reserves, which do not earn interest. When the surplus attains the level, the excess of the surplus over the level will receive interest at a constant rate. If the level goes to infinity, the mo...

متن کامل

The Gerber-Shiu Penalty Function for a Risk Process with Two Classes of Claims under a Multi-layer Dividend Strategy

In this paper we consider a risk model with two classes of insurance risks in the presence of a multi-layer dividend startegy. We assume that the two claim counting processes are, respectively, Poisson and Sparre Andersen with generalized Erlang(2) claim inter-arrival times. We derive an integro-differential equation system for the Gerber-Shiu functions for surplus-dependent premium rates and a...

متن کامل

Gerber-Shiu distribution at Parisian ruin for Lévy insurance risk processes

Inspired by works of Landriault et al. [11, 12], we study the Gerber–Shiu distribution at Parisian ruin with exponential implementation delays for a spectrally negative Lévy insurance risk process. To be more specific, we study the so-called Gerber–Shiu distribution for a ruin model where at each time the surplus process goes negative, an independent exponential clock is started. If the clock r...

متن کامل

On Gerber-shiu Functions and Optimal Dividend Distribution for a Lévy Risk-process in the Presence of a Penalty Function

In this paper we consider an optimal dividend problem for an insurance company which risk process evolves as a spectrally negative Lévy process (in the absence of dividend payments). We assume that the management of the company controls timing and size of dividend payments. The objective is to maximize the sum of the expected cumulative discounted dividends received until the moment of ruin and...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Discrete Dynamics in Nature and Society

سال: 2019

ISSN: 1026-0226,1607-887X

DOI: 10.1155/2019/3607201