The Gerber-Shiu discounted penalty function: A review from practical perspectives
Abstract The Gerber-Shiu function provides a unified framework for the evaluation of a
variety of risk quantities. Ever since its establishment, it has attracted constantly increasing …
variety of risk quantities. Ever since its establishment, it has attracted constantly increasing …
On the dual risk model with Parisian implementation delays under a mixed dividend strategy
K Hu, J Li, J Zhou - Probability in the Engineering and Informational …, 2023 - cambridge.org
In this paper, we consider a mixed dividend strategy in a dual risk model. The mixed
dividend strategy is the combination of a threshold dividend and a Parisian implementation …
dividend strategy is the combination of a threshold dividend and a Parisian implementation …
Generalized expected discounted penalty function at general drawdown for Lévy risk processes
This paper considers an insurance surplus process modeled by a spectrally negative Lévy
process. Instead of the time of ruin in the traditional setting, we apply the time of drawdown …
process. Instead of the time of ruin in the traditional setting, we apply the time of drawdown …
Liquidation risk in insurance under contemporary regulatory frameworks
X Li, H Liu, Q Tang, J Zhu - Insurance: Mathematics and Economics, 2020 - Elsevier
In traditional research in insurance and finance, a firm is subject to immediate liquidation
when its asset value process drops to an absorbing low barrier. This treatment greatly …
when its asset value process drops to an absorbing low barrier. This treatment greatly …
Bridging the first and last passage times for Lévy models
Research in classical ruin theory has largely focused on the first passage time analysis of a
surplus process below level 0. Recently, inspired by numerous applications in finance …
surplus process below level 0. Recently, inspired by numerous applications in finance …
Parisian types of ruin probabilities for a class of dependent risk-reserve processes
For a rather general class of risk-reserve processes, we provide an exact method for
calculating different kinds of ruin probabilities, with particular emphasis on variations over …
calculating different kinds of ruin probabilities, with particular emphasis on variations over …
On the area in the red of Lévy risk processes and related quantities
MA Lkabous, Z Wang - Insurance: Mathematics and Economics, 2023 - Elsevier
Under contemporary insurance regulatory frameworks, an insolvent insurer placed in
receivership may have the option of rehabilitation, during which a plan is devised to resolve …
receivership may have the option of rehabilitation, during which a plan is devised to resolve …
On occupation times in the red of Lévy risk models
In this paper, we obtain analytical expression for the distribution of the occupation time in the
red (below level 0) up to an (independent) exponential horizon for spectrally negative Lévy …
red (below level 0) up to an (independent) exponential horizon for spectrally negative Lévy …
Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims
The Parisian ruin time, which is the first time the insurer's surplus process has an excursion
below level zero that exceeds a prescribed time length, has been extensively analyzed in …
below level zero that exceeds a prescribed time length, has been extensively analyzed in …
Draw-down Parisian ruin for spectrally negative Lévy processes
W Wang, X Zhou - Advances in Applied Probability, 2020 - cambridge.org
Draw-down time for a stochastic process is the first passage time of a draw-down level that
depends on the previous maximum of the process. In this paper we study the draw-down …
depends on the previous maximum of the process. In this paper we study the draw-down …