Search Results - subject:"Discounted penalty function"

Ruin measures for a compound Poisson risk model with dependence based on the Spearman copula and the exponential claim sizes

Heilpern, Stanislaw - In: Insurance / Mathematics & economics 59 (2014), pp. 251-257

Persistent link: https://www.econbiz.de/10010470011

The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier

Yuen, KC; Wang, G; Li, WK - 2007

interest, we derive an integro-differential equation for the Gerber-Shiu expected discounted penalty function. Following an … dividend barrier: Analysis of the Gerber-Shiu discounted penalty function. Insurance: Math. Econom. 33, 551-566], we obtain the … exponential claims, we are able to find closed-form expressions for the Gerber-Shiu expected discounted penalty function. Finally …

Persistent link: https://www.econbiz.de/10009471485

Some results on absolute ruin in the perturbed insurance risk model with investment and debit interests

Yu, Wenguang - In: Economic Modelling 31 (2013) C, pp. 625-634

of the present value of all dividends until absolute ruin and the Gerber–Shiu expected discounted penalty function are …

Persistent link: https://www.econbiz.de/10010636271

Some results on absolute ruin in the perturbed insurance risk model with investment and debit interests

Yu, Wenguang - In: Economic modelling 31 (2013), pp. 625-634

Persistent link: https://www.econbiz.de/10009731474

The discounted penalty function with multi-layer dividend strategy in the phase-type risk model

Jiang, Wuyuan; Yang, Zhaojun; Li, Xinping - In: Statistics & Probability Letters 82 (2012) 7, pp. 1358-1366

This paper considers a Sparre Andersen model in which the inter-claim times have a phase-type distribution and the premium rate is a step function depending on the current surplus level. We derive the system of piecewise integro-differential equations for the Gerber–Shiu discounted penalty...

Persistent link: https://www.econbiz.de/10010576165

The Gerber–Shiu discounted penalty function in a delayed renewal risk model with multi-layer dividend strategy

Deng, Chao; Zhou, Jieming; Deng, Yingchun - In: Statistics & Probability Letters 82 (2012) 9, pp. 1648-1656

for the Gerber–Shiu discounted penalty function in the delayed renewal risk model is derived, as an analogue of that in …

Persistent link: https://www.econbiz.de/10010597162

On the absolute ruin problem in a Sparre Andersen risk model with constant interest

Mitric, Ilie-Radu; Badescu, Andrei L.; Stanford, David A. - In: Insurance: Mathematics and Economics 50 (2012) 1, pp. 167-178

)). Under this scenario, we present a general methodology to analyze the Gerber–Shiu discounted penalty function defined at …

Persistent link: https://www.econbiz.de/10010688098

Recursive methods for a multi-dimensional risk process with common shocks

Gong, Lan; Badescu, Andrei L.; Cheung, Eric C.K. - In: Insurance: Mathematics and Economics 50 (2012) 1, pp. 109-120

In this paper, a multi-dimensional risk model with common shocks is studied. Using a simple probabilistic approach via observing the risk processes at claim instants, recursive integral formulas are developed for the survival probabilities as well as for a class of Gerber–Shiu expected...

Persistent link: https://www.econbiz.de/10010688104