scholarly journals Estimating the Gerber-Shiu Function in a Compound Poisson Risk Model with Stochastic Premium Income

2019 ◽  
Vol 2019 ◽  
pp. 1-18 ◽  
Author(s):  
Yunyun Wang ◽  
Wenguang Yu ◽  
Yujuan Huang
Keyword(s):  
Convergence Rate ◽  
Risk Model ◽  
Compound Poisson ◽  
Fourier Cosine ◽  
Cosine Series ◽  
Compound Poisson Risk Model ◽  
Fourier Cosine Series ◽  
Fast Convergence Rate ◽  
Premium Income ◽  
Poisson Risk Model

In this paper, we consider the compound Poisson risk model with stochastic premium income. We propose a new estimation of Gerber-Shiu function by an efficient method: Fourier-cosine series expansion. We show that the estimator is easily computed and has a fast convergence rate. Some simulation examples are illustrated to show that the estimation has a good performance when the sample size is finite.

APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION

2016 ◽  
Vol 47 (1) ◽  
pp. 169-198 ◽  
Author(s):  
Zhimin Zhang
Keyword(s):  
Risk Model ◽  
Series Expansions ◽  
Two Dimensional ◽  
Numerical Examples ◽  
One Dimensional ◽  
Fourier Cosine ◽  
Cosine Series ◽  
Compound Poisson Risk Model ◽  
Fourier Cosine Series ◽  
Approximation Errors

AbstractIn this paper, the density of the time to ruin is studied in the context of the classical compound Poisson risk model. Both one-dimensional and two-dimensional Fourier-cosine series expansions are used to approximate the density of the time to ruin, and the approximation errors are also obtained. Some numerical examples are also presented to show that the proposed method is very efficient.

scholarly journals Dynamic Proportional Reinsurance and Approximations for Ruin Probabilities in the Two-Dimensional Compound Poisson Risk Model

2012 ◽  
Vol 2012 ◽  
pp. 1-26 ◽  
Author(s):  
Yan Li ◽  
Guoxin Liu
Keyword(s):  
Ruin Probability ◽  
Risk Model ◽  
Optimal Strategies ◽  
Proportional Reinsurance ◽  
Two Dimensional ◽  
Compound Poisson ◽  
Compound Poisson Risk Model ◽  
Optimal Value ◽  
Hamilton Jacobi Bellman ◽  
Poisson Risk Model

We consider the dynamic proportional reinsurance in a two-dimensional compound Poisson risk model. The optimization in the sense of minimizing the ruin probability which is defined by the sum of subportfolio is being ruined. Via the Hamilton-Jacobi-Bellman approach we find a candidate for the optimal value function and prove the verification theorem. In addition, we obtain the Lundberg bounds and the Cramér-Lundberg approximation for the ruin probability and show that as the capital tends to infinity, the optimal strategies converge to the asymptotically optimal constant strategies. The asymptotic value can be found by maximizing the adjustment coefficient.

scholarly journals Estimates for the Absolute Ruin Probability in the Compound Poisson Risk Model with Credit and Debit Interest

2008 ◽  
Vol 45 (03) ◽  
pp. 818-830 ◽  
Author(s):  
Jinxia Zhu ◽  
Hailiang Yang
Keyword(s):  
Ruin Probability ◽  
Risk Model ◽  
Compound Poisson ◽  
Compound Poisson Risk Model ◽  
Absolute Ruin ◽  
Constant Rate ◽  
Negative Constant ◽  
The Absolute ◽  
Debit Interest ◽  
Poisson Risk Model

In this paper we consider a compound Poisson risk model where the insurer earns credit interest at a constant rate if the surplus is positive and pays out debit interest at another constant rate if the surplus is negative. Absolute ruin occurs at the moment when the surplus first drops below a critical value (a negative constant). We study the asymptotic properties of the absolute ruin probability of this model. First we investigate the asymptotic behavior of the absolute ruin probability when the claim size distribution is light tailed. Then we study the case where the common distribution of claim sizes are heavy tailed.

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