The Gerber-shiu Expected Discounted Penalty-reward Function under an Affine Jump-diffusion Model
نویسندگان
چکیده
منابع مشابه
An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model
For a general penalty function, the expected discounted penalty at ruin was considered by, for example, Gerber and Shiu(1998) and Gerber and Landry (1998) in insurance literature. On the other hand, many pricing functionals in mathematical finance(e.g., options pricing, credit risk modelling) can be formulated in terms of expected discounted penalties. Under the assumption that the asset value ...
متن کاملThe Compound Poisson Surplus Model with Interest and Liquid Reserves: Analysis of the Gerber-Shiu Discounted Penalty Function
We modify the compound Poisson surplus model for an insurer by including liquid reserves and interest on the surplus. When the surplus of an insurer is below a fixed level, the surplus is kept as liquid reserves, which do not earn interest. When the surplus attains the level, the excess of the surplus over the level will receive interest at a constant rate. If the level goes to infinity, the mo...
متن کاملOn Regularities of Expected Discounted Penalty at Ruin in Two-Sided Jump-Diffusion Model
The expected discounted penalty with downside jumps has been extensively studied in Gerber and Shiu(1998), Gerber and Landry(1998), Tsai and Wilmott(2002) and others. In this paper, we study the expected discounted penalty in a perturbed compound Poisson model with two sided jumps. We show that it is always twice continuously differentiable provided that the jump size distribution has a bounded...
متن کاملOn the Gerber-shiu Penalty Function for the Compound Binomial Risk Model with Delayed Claims
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 کاملThe Gerber-Shiu Penalty Function for a Risk Process with Two Classes of Claims under a Multi-layer Dividend Strategy
In this paper we consider a risk model with two classes of insurance risks in the presence of a multi-layer dividend startegy. We assume that the two claim counting processes are, respectively, Poisson and Sparre Andersen with generalized Erlang(2) claim inter-arrival times. We derive an integro-differential equation system for the Gerber-Shiu functions for surplus-dependent premium rates and a...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: ASTIN Bulletin
سال: 2008
ISSN: 0515-0361,1783-1350
DOI: 10.2143/ast.38.2.2033350