On a generalized Gerber-Shiu function in a compound Poisson model perturbed by diffusion
نویسندگان
چکیده
منابع مشابه
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 کاملOn 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...
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In this paper, we consider a dual risk process which can be used to model the surplus of a business that invests money constantly and earns gains randomly in both time and amount. The occurrences of the gains and their amounts are assumed follow a semi-Markovian structure (e.g. Reinhard (1984)). We analyze a quantity resembling the Gerber-Shiu expected discounted penalty function (Gerber and Sh...
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The Gerber-Shiu function provides a way of measuring the risk of an insurance company. It is given by the expected value of a function that depends on the ruin time, the deficit at ruin, and the surplus prior to ruin. Its computation boils down to the evaluation of the overshoot/undershoot distributions of the surplus process at ruin. In this paper, we approximate it in a closed form by fitting...
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the aim of this thesis is an approach for assessing insurer’s solvency for iranian insurance companies. we use of economic data with both time series and cross-sectional variation, thus by using the panel data model will survey the insurer solvency.
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ژورنال
عنوان ژورنال: Advances in Difference Equations
سال: 2015
ISSN: 1687-1847
DOI: 10.1186/s13662-015-0378-x