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...

We describe an approach to the evaluation of the moments of the time of ruin in the classical Poisson risk model. The methodology employed involves the expression of these moments in terms of linear combinations of convolutions involving compound negative binomial distributions. We then adapt the results for use in the practically important case involving phase-type claim size distributions. We...

This article provides efficient methods based on the saddlepoint approximation for computing the value at risk and the tail value at risk of the doubly compound and perturbed insurer total claim amount. The model is based on a primary counting birth process, for the number of catastrophic events, and on a secondary counting distribution, with possible modification or truncation at zero, for the...

Teaching Stochastic Finance on a basic level, e.g. to undergraduates or even in school is a task which is hard to fulfil with common continuous theory. It takes a lot of mathematical prerequisites, sometimes it is not even possible to introduce them since the level of education among students is too low. This is one of the main reasons for the use of discrete asset models to describe financial ...

We present an algorithm that determines Sequential Tail Value at Risk (STVaR) for path-independent payoffs in a binomial tree. STVaR is a dynamic version of Tail-Valueat-Risk (TVaR) characterized by the property that risk levels at any moment must be in the range of risk levels later on. The algorithm consists of a finite sequence of backward recursions that is guaranteed to arrive at the solut...

aim : the aim of this study was to compare alternatives methods for analysis of zero inflated count data and compare them with simple count models that are used by researchers frequently for such zero inflated data. background : analysis of viral load and risk factors could predict likelihood of achieving sustain virological response (svr). this information is useful to protect a person from ac...

We propose practical solutions for the determination of optimal retentions in a stop-loss reinsurance. We develop two new optimization criteria for deriving the optimal retentions by, respectively, minimizing the value-at-risk (VaR) and the conditional tail expectation (CTE) of the total risks of an insurer. We establish necessary and sufficient conditions for the existence of the optimal reten...