PHASE-TYPE APPROXIMATION OF THE GERBER-SHIU FUNCTION
نویسندگان
چکیده
منابع مشابه
Phase-type Approximation of the Gerber-shiu Function
The Gerber-Shiu function provides a way of measuring the risk of an insurance company. It is given by the expected value of a function that depends on the ruin time, the deficit at ruin, and the surplus prior to ruin. Its computation boils down to the evaluation of the overshoot/undershoot distributions of the surplus process at ruin. In this paper, we approximate it in a closed form by fitting...
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In this paper, we consider a dual risk process which can be used to model the surplus of a business that invests money constantly and earns gains randomly in both time and amount. The occurrences of the gains and their amounts are assumed follow a semi-Markovian structure (e.g. Reinhard (1984)). We analyze a quantity resembling the Gerber-Shiu expected discounted penalty function (Gerber and Sh...
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Abstract: In this paper we consider the Gerber-Shiu penalty function in the compound binomial risk model with time-correlated claims. It is assumed that each main claim will induce a by-claim but the occurrence of the by-claim may be delayed with a certain probability. Formulas for the probability generating function of the penalty function are obtained, together with the expression for the pen...
متن کاملAndreas E . Kyprianou Gerber – Shiu Risk Theory Draft
Springer Preface These notes were developed whilst giving a graduate lecture course (Nachdiplomvor-lesung) in the fall of 2012 at the Forschungsinstitut für Mathematik (FIM), ETH Zürich, Switzerland. The same course was given in the spring of 2013 at Centro de Investigación en Matemáticas (CIMAT), Guanajuato, Mexico and, simultaneously by video-link, at the Instituto de Mathemáticas, UNAM in Me...
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ژورنال
عنوان ژورنال: Journal of the Operations Research Society of Japan
سال: 2017
ISSN: 0453-4514,2188-8299
DOI: 10.15807/jorsj.60.337