On Computations in Renewal Risk Models—Analytical and Statistical Aspects

Autor: Josef Anton Strini, Stefan Thonhauser

Publikováno v: Risks, Vol 8, Iss 1, p 24 (2020)

We discuss aspects of numerical methods for the computation of Gerber-Shiu or discounted penalty-functions in renewal risk models. We take an analytical point of view and link this function to a partial-integro-differential equation and propose a num

Externí odkaz: https://doaj.org/article/8d5d8212ac4247ea98750118af0723c9

TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems

Autor: Danijel Grahovac, Ceren Vardar-Acar, Florin Avram

Publikováno v: ESAIM: Probability and Statistics
ESAIM: Probability and Statistics, EDP Sciences, 2020, 24, pp.454-525. ⟨10.1051/ps/2019022⟩

In the last years there appeared a great variety of identities for first passage problems of spectrally negative Lévy processes, which can all be expressed in terms of two “q-harmonic functions” (or scale functions)WandZ. The reason behind that

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::01659b37bbc399e81e726269de4adfbe
https://doi.org/10.1051/ps/2019022

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De Finetti's optimal dividends problem with an affine penalty function at ruin

Autor: Ronnie Loeffen, Jean-François Renaud

Publikováno v: Loeffen, R L & Renaud, J F 2010, ' De Finetti's optimal dividends problem with an affine penalty function at ruin ', Insurance: Mathematics and Economics, vol. 46, no. 1, pp. 98-108 . https://doi.org/10.1016/j.insmatheco.2009.09.006

In a Lévy insurance risk model, under the assumption that the tail of the Lévy measure is log-convex, we show that either a horizontal barrier strategy or the take-the-money-and-run strategy maximizes, among all admissible strategies, the dividend

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6b00950ab713651c0fa425608ea5d925
https://www.research.manchester.ac.uk/portal/en/publications/de-finettis-optimal-dividends-problem-with-an-affine-penalty-function-at-ruin(6084f871-4d97-4a49-8361-1c8e09ad54ec).html