Zobrazeno 1 - 10
of 392
pro vyhledávání: '"gerber-shiu function"'
Publikováno v:
AIMS Mathematics, Vol 9, Iss 1, Pp 2032-2050 (2024)
In this paper, an investment risk model with bilateral jumps was considered, assuming the insurer invested the surplus in two types of assets, namely, risk-free and risky ones, in a certain proportion. First, the integral-differential equations of th
Externí odkaz:
https://doaj.org/article/c2b365fdedfa4bd79538497ded2a8d62
Publikováno v:
AIMS Mathematics, Vol 8, Iss 9, Pp 22301-22318 (2023)
In this paper, we consider a two-sided jumps risk model with proportional investments and random observation periods. The downward jumps represent the claim while the upward jumps represent the random returns. Suppose an insurance company invests all
Externí odkaz:
https://doaj.org/article/20fea68ce04243bca3b08622bb3c93a8
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
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Publikováno v:
AIMS Mathematics, Vol 6, Iss 12, Pp 13448-13463 (2021)
In this study, we consider a periodic dividend barrier strategy in an improved thinning risk model, which indicates that insurance companies randomly receive premiums and pay dividends. In the improved model, the premium is stochastic, and the claim
Externí odkaz:
https://doaj.org/article/737738eb3ee844efb9c2036989675c03
Publikováno v:
Advances in Difference Equations, Vol 2021, Iss 1, Pp 1-24 (2021)
Abstract In this paper, we model the insurance company’s surplus by a compound Poisson risk model, where the surplus process can only be observed at random observation times. It is assumed that the insurer observes its surplus level periodically to
Externí odkaz:
https://doaj.org/article/7d2d48e0fb4f4cb9beeeb767383746c0
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
Autor:
Eric C. K. Cheung, Jeff T. Y. Wong
Publikováno v:
Risks, Vol 11, Iss 3, p 56 (2023)
Traditionally, Parisian ruin is said to occur when the insurer’s surplus process has stayed below level zero continuously for a certain grace period. Inspired by this concept, in this paper we propose a modification by assuming that once a grace pe
Externí odkaz:
https://doaj.org/article/a1fdcc30c913493aba9b6a1a0f1e8ae8