کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5776202 | 1631970 | 2017 | 26 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Gerber-Shiu analysis with two-sided acceptable levels
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 321, September 2017, Pages 185-210
Journal: Journal of Computational and Applied Mathematics - Volume 321, September 2017, Pages 185-210
نویسندگان
Jae-Kyung Woo, Ran Xu, Hailiang Yang,