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Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model

Tang, Qihe; Wang, Guojing; Yuen, Kam C. - In: Insurance 46 (2010) 2, pp. 362-370

Persistent link: https://www.econbiz.de/10003966599

Wang, Guojing; Yuen, Kam C. - In: Insurance: Mathematics and Economics 36 (2005) 3, pp. 456-468

Persistent link: https://www.econbiz.de/10005380637

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

Yuen, Kam C.; Wang, Guojing; Li, Wai K. - In: Insurance: Mathematics and Economics 40 (2007) 1, pp. 104-112

Persistent link: https://www.econbiz.de/10005380689

Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model

Tang, Qihe; Wang, Guojing; Yuen, Kam C. - In: Insurance: Mathematics and Economics 46 (2010) 2, pp. 362-370

Consider an insurer who is allowed to make risk-free and risky investments. The price process of the investment portfolio is described as a geometric Lévy process. We study the tail probability of the stochastic present value of future aggregate claims. When the claim-size distribution is of...

Persistent link: https://www.econbiz.de/10008507388

On the renewal risk process with stochastic interest

Yuen, Kam C.; Wang, Guojing; Wu, Rong - In: Stochastic Processes and their Applications 116 (2006) 10, pp. 1496-1510

In this paper, we consider the renewal risk process with stochastic interest. For this risk process, we derive exact expressions and integral equations for the Gerber-Shiu expected discounted penalty function and the ultimate ruin probability. When the interest is received at a constant rate and...

Persistent link: https://www.econbiz.de/10008875569

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

Yuen, Kam C.; Wang, Guojing; Li, Wai K. - In: Insurance / Mathematics & economics 40 (2007) 1, pp. 104-112

Persistent link: https://www.econbiz.de/10007391681

Wang, Guojing; Yuen, Kam C. - In: Insurance / Mathematics & economics 36 (2005) 3, pp. 456-468

Persistent link: https://www.econbiz.de/10006876256

Multivariate Tweedie distributions and some related capital-at-risk analyses

Tang, Qihe; Wang, Guojing; Yuen, Kam C. - In: Insurance / Mathematics & economics 46 (2010) 2, pp. 351-362

Persistent link: https://www.econbiz.de/10008391774

The expected discounted penalty function for the perturbed compound Poisson risk process with constant interest

Wang, Guojing; Wu, Rong - In: Insurance 42 (2008) 1, pp. 59-64

Persistent link: https://www.econbiz.de/10003681601

Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks

Yang, Yang; Wang, Guojing; Yao, Jing - In: Insurance : mathematics and economics 114 (2024), pp. 79-107

Persistent link: https://www.econbiz.de/10015049368