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...

In this paper, we consider the perturbed renewal risk process. Systems of integrodifferential equations for the Gerber-Shiu functions at ruin caused by a claim and oscillation are established, respectively. The explicit Laplase transforms of GerberShiu functions are obtained, while the closed form expressions for the Gerber-Shiu functions are derived when the claim amount distribution is from t...

Ground-based water vapour soundings by microwave radiometry and Raman lidar on Jungfraujoch (Swiss Alps) D. Gerber, I. Balin, D. Feist, N. Kämpfer, V. Simeonov, B. Calpini , and H. van den Bergh Institute of Applied Physics, University of Bern, Switzerland Laboratory of Air Pollution, Swiss Federal Institute of Technology – Lausanne (EPFL), Lausanne, Switzerland Now at: MétéoSuisse, Payerne Sta...

The Gerber-Shiu discounted penalty function is considered for a class of delayed renewal risk processes. Special cases of the model include the stationary renewal risk model and the situation where the time until the first claim is exponentially distributed. A mathematically tractable formula is derived for the Gerber-Shiu function, and consequently for quantities associated with the deficit at...

Current research information systems (CRISs) offer great opportunities for extraction of useful and actionable knowledge based on various data analysis techniques. However, many of these opportunities have not been explored in depth, especially in culture-sensitive areas such as gender-based evaluation of researchers. In this paper, we present GERBER, a methodology and accompanying tool for per...

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...

Inspired by works of Landriault et al. [11, 12], we study the Gerber–Shiu distribution at Parisian ruin with exponential implementation delays for a spectrally negative Lévy insurance risk process. To be more specific, we study the so-called Gerber–Shiu distribution for a ruin model where at each time the surplus process goes negative, an independent exponential clock is started. If the clock r...