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- Publisher Website: 10.1016/j.cam.2017.02.014
- Scopus: eid_2-s2.0-85015342705
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Article: Gerber–Shiu analysis with two-sided acceptable levels
Title | Gerber–Shiu analysis with two-sided acceptable levels |
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Authors | |
Keywords | Truncated Gerber–Shiu function Classical Poisson risk model Surplus-dependent premium rate Transition kernel Joint distribution of maximum and minimum before ruin Markovian arrival process |
Issue Date | 2017 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/cam |
Citation | Journal of Computational and Applied Mathematics, 2017, v. 321, p. 185-210 How to Cite? |
Abstract | In this paper, insurer’s surplus process moved within upper and lower levels is analyzed. To this end, a truncated type of Gerber–Shiu function is proposed by further incorporating the minimum and the maximum surplus before ruin into the existing ones (e.g. Gerber and Shiu (1998), Cheung et al. (2010a)). A key component in our analysis of this proposed Gerber–Shiu function is the so-called transition kernel. Explicit expressions of the transition function under two different risk models are obtained. These two models are both generalizations of the classical Poisson risk model: (i) the first model provides flexibility in the net premium rate which is dependent on the surplus (such as linear or step function); and (ii) the second model assumes that claims arrive according to a Markovian arrival process (MAP). Finally, we discuss some applications of the truncated Gerber–Shiu function with numerical examples under various scenarios. |
Persistent Identifier | http://hdl.handle.net/10722/245295 |
ISSN | 2023 Impact Factor: 2.1 2023 SCImago Journal Rankings: 0.858 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Woo, JK | - |
dc.contributor.author | Xu, R | - |
dc.contributor.author | Yang, H | - |
dc.date.accessioned | 2017-09-18T02:08:06Z | - |
dc.date.available | 2017-09-18T02:08:06Z | - |
dc.date.issued | 2017 | - |
dc.identifier.citation | Journal of Computational and Applied Mathematics, 2017, v. 321, p. 185-210 | - |
dc.identifier.issn | 0377-0427 | - |
dc.identifier.uri | http://hdl.handle.net/10722/245295 | - |
dc.description.abstract | In this paper, insurer’s surplus process moved within upper and lower levels is analyzed. To this end, a truncated type of Gerber–Shiu function is proposed by further incorporating the minimum and the maximum surplus before ruin into the existing ones (e.g. Gerber and Shiu (1998), Cheung et al. (2010a)). A key component in our analysis of this proposed Gerber–Shiu function is the so-called transition kernel. Explicit expressions of the transition function under two different risk models are obtained. These two models are both generalizations of the classical Poisson risk model: (i) the first model provides flexibility in the net premium rate which is dependent on the surplus (such as linear or step function); and (ii) the second model assumes that claims arrive according to a Markovian arrival process (MAP). Finally, we discuss some applications of the truncated Gerber–Shiu function with numerical examples under various scenarios. | - |
dc.language | eng | - |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/cam | - |
dc.relation.ispartof | Journal of Computational and Applied Mathematics | - |
dc.subject | Truncated Gerber–Shiu function | - |
dc.subject | Classical Poisson risk model | - |
dc.subject | Surplus-dependent premium rate | - |
dc.subject | Transition kernel | - |
dc.subject | Joint distribution of maximum and minimum before ruin | - |
dc.subject | Markovian arrival process | - |
dc.title | Gerber–Shiu analysis with two-sided acceptable levels | - |
dc.type | Article | - |
dc.identifier.email | Woo, JK: jkwoo@hku.hk | - |
dc.identifier.email | Yang, H: hlyang@hku.hk | - |
dc.identifier.authority | Woo, JK=rp01623 | - |
dc.identifier.authority | Yang, H=rp00826 | - |
dc.identifier.doi | 10.1016/j.cam.2017.02.014 | - |
dc.identifier.scopus | eid_2-s2.0-85015342705 | - |
dc.identifier.hkuros | 278175 | - |
dc.identifier.hkuros | 289608 | - |
dc.identifier.volume | 321 | - |
dc.identifier.spage | 185 | - |
dc.identifier.epage | 210 | - |
dc.identifier.isi | WOS:000400878000012 | - |
dc.publisher.place | Netherlands | - |
dc.identifier.issnl | 0377-0427 | - |