Computing the Gerber-Shiu function by frame duality projection
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Cites work
- A novel pricing method for European options based on Fourier-cosine series expansions
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
- An efficient transform method for Asian option pricing
- An introduction to frames and Riesz bases
- Analysis of a defective renewal equation arising in ruin theory
- Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
- Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
- Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus
- Fourier-cosine method for Gerber-Shiu functions
- Fourier-cosine method for ruin probabilities
- On a general class of renewal risk process: analysis of the Gerber-Shiu function
- On a generalization of the Gerber-Shiu function to path-dependent penalties
- On ruin for the Erlang \((n)\) risk process
- On the approximation power of convolution-based least squares versus interpolation
- On the expected discounted penalty function for Lévy risk processes
- On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution
- On the Time Value of Ruin
- The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
- The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
Cited in
(20)- Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation
- Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
- On the improved thinning risk model under a periodic dividend barrier strategy
- On the dual risk model with diffusion under a mixed dividend strategy
- An analysis of dollar cost averaging and market timing investment strategies
- Equity-linked guaranteed minimum death benefits with dollar cost averaging
- Interval estimation of the ruin probability in the classical compound Poisson risk model
- Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income
- Valuing equity-linked death benefits in general exponential Lévy models
- Fourier-cosine method for Gerber-Shiu functions
- The Gerber-Shiu discounted penalty function: a review from practical perspectives
- Fourier-cosine method for finite-time Gerber-Shiu functions
- SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS
- Estimating the Gerber-Shiu function under a risk model with stochastic income by Laguerre series expansion
- Spline local basis methods for nonparametric density estimation
- Closed-form option pricing for exponential Lévy models: a residue approach
- Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
- Computing Gerber-Shiu function in the classical risk model with interest using collocation method
- Optimal investment and risk management strategies considering catastrophe bond issuance under ambiguity aversion
- Nonparametric density estimation and bandwidth selection with B-spline bases: a novel Galerkin method
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