Search Results - subject:"gerber-shiu functions"

On computations in renewal risk models: Analytical and statistical aspects

Strini, Josef Anton; Thonhauser, Stefan - In: Risks 8 (2020) 1, pp. 1-20

subsequent step from simulated sample data and study its effect on the numerically computed Gerber-Shiu functions. It can be seen …

Persistent link: https://www.econbiz.de/10013200559

On computations in renewal risk models : analytical and statistical aspects

Strini, Josef Anton; Thonhauser, Stefan - In: Risks : open access journal 8 (2020) 1/24, pp. 1-20

subsequent step from simulated sample data and study its effect on the numerically computed Gerber-Shiu functions. It can be seen …

Persistent link: https://www.econbiz.de/10012203784

Optimal reinsurance for Gerber-Shiu functions in the Cramér-Lundberg model

Preischl, M.; Thonhauser, S. - In: Insurance / Mathematics & economics 87 (2019), pp. 82-91

Persistent link: https://www.econbiz.de/10012058918

Fourier-cosine method for Gerber–Shiu functions

Chau, K.W.; Yam, S.C.P.; Yang, H. - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 170-180

In this article, we provide a systematic study on effectively approximating the Gerber–Shiu functions, which is a … approximant of Gerber–Shiu functions under Lévy subordinator model has O(n) computational complexity in comparison with that of O …(nlogn) via the fast Fourier transform algorithm. Also, for Gerber–Shiu functions within our proposed refined Sobolev space, we …

Persistent link: https://www.econbiz.de/10011263840

Fourier-cosine method for Gerber-Shiu functions

Chau, K. W.; Yam, Sheung Chi Phillip; Yang, H. - In: Insurance / Mathematics & economics 61 (2015), pp. 170-180

Persistent link: https://www.econbiz.de/10010515895