PHASE-TYPE APPROXIMATION OF THE GERBER-SHIU FUNCTION
From MaRDI portal
Publication:4597002
DOI10.15807/JORSJ.60.337zbMATH Open1382.91047arXiv1701.02798OpenAlexW2182979730MaRDI QIDQ4597002FDOQ4597002
Authors: Kazutoshi Yamazaki 
Publication date: 11 December 2017
Published in: Journal of the Operations Research Society of Japan (Search for Journal in Brave)
Abstract: The Gerber-Shiu function provides a way of measuring the risk of an insurance company. It is given by the expected value of a function that depends on the ruin time, the deficit at ruin, and the surplus prior to ruin. Its computation requires the evaluation of the overshoot/undershoot distributions of the surplus process at ruin. In this paper, we use the recent developments of the fluctuation theory and approximate it in a closed form by fitting the underlying process by phase-type Levy processes. A sequence of numerical results are given.
Full work available at URL: https://arxiv.org/abs/1701.02798
Recommendations
- Fourier-cosine method for Gerber-Shiu functions
- Phase integral approximation for coupled ordinary differential equations of the Schrödinger type
- Estimating the Gerber–Shiu function by Fourier–Sinc series expansion
- scientific article; zbMATH DE number 967323
- Fourier-cosine method for finite-time Gerber-Shiu functions
- Approximation of the Mumford-Shah functional by phase fields of bounded variation
- scientific article; zbMATH DE number 509272
- Phase-function method from the Riccati form of the Schrodinger equation
- Alternative phase-integral approximations
- A note on Gerber-Shiu functions with an application
Processes with independent increments; Lévy processes (60G51) Applications of renewal theory (reliability, demand theory, etc.) (60K10)
Cited In (3)
This page was built for publication: PHASE-TYPE APPROXIMATION OF THE GERBER-SHIU FUNCTION
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4597002)
