Phase-type Approximation of the Gerber-shiu Function
نویسنده
چکیده
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 the underlying process by phase-type Lévy processes.
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