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of 1 226
pro vyhledávání: '"gerber-shiu function"'
Autor:
Yu, Zan, Zhang, Lianzeng
In this paper, we propose a new efficient method for calculating the Gerber-Shiu discounted penalty function. Generally, the Gerber-Shiu function usually satisfies a class of integro-differential equation. We introduce the physics-informed neural net
Externí odkaz:
http://arxiv.org/abs/2401.04378
Autor:
Yu, Zan, Zhang, Lianzeng
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. This
Externí odkaz:
http://arxiv.org/abs/2312.16004
Autor:
Hu, Kang1 (AUTHOR), Huang, Ya2 (AUTHOR) huangya@hunnu.edu.cn, Deng, Yingchun3 (AUTHOR) huangya@hunnu.edu.cn
Publikováno v:
Mathematics (2227-7390). May2023, Vol. 11 Issue 9, p1994. 30p.
Autor:
Sutipon Punaluek, Yuri Imamura
Publikováno v:
International Journal of Mathematics for Industry, Vol 15, Iss 01 (2023)
This paper studies the Gerber–Shiu function for the insurance surplus process with additional investment under the Bachelier model. The Gerber–Shiu function allows us to study the moments of the time of ruin, which is the first time that the surp
Externí odkaz:
https://doaj.org/article/72b2c46fe70e45cc93ac1326ab33e6db
Akademický článek
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Autor:
Palmowski, Zbigniew, Vatamidou, Eleni
We consider in this paper a risk reserve process where the claims and gains arrive according to two independent Poisson processes. While the gain sizes are phase-type distributed, we assume instead that the claim sizes are phase-type perturbed by a h
Externí odkaz:
http://arxiv.org/abs/2006.07463
Autor:
Wang, Wenyuan1, Zhang, Zhimin2 zmzhang@cqu.edu.cn
Publikováno v:
Scandinavian Actuarial Journal. May2019, Vol. 2019 Issue 4, p291-307. 17p.
Autor:
Zhang, Aili1 (AUTHOR) zhangailiwh@126.com
Publikováno v:
Bulletin of the Iranian Mathematical Society. Aug2022, Vol. 48 Issue 4, p1895-1917. 23p.
Autor:
Martín-González, Ehyter Matías1 (AUTHOR), Murillo-Salas, Antonio1 (AUTHOR) amurillos@ugto.mx, Pantí, Henry2 (AUTHOR)
Publikováno v:
Methodology & Computing in Applied Probability. Dec2022, Vol. 24 Issue 4, p2779-2800. 22p.
Publikováno v:
Mathematics, Vol 11, Iss 9, p 1994 (2023)
In this paper, we consider an insurance risk model with two-sided jumps, where downward and upward jumps typically represent claim amounts and random gains, respectively. We use the Laguerre series to expand the Gerber–Shiu function and estimate it
Externí odkaz:
https://doaj.org/article/7f16dca6efc54c3fb53b4a01266810d9