PHASE-TYPE APPROXIMATION OF THE GERBER-SHIU FUNCTION

DOI10.15807/JORSJ.60.337MaRDI QIDQ4597002zbMATH OpenOpenAlexFDO

Authors Kazutoshi Yamazaki

Publication date 11 December 2017

Published in Journal of the Operations Research Society of Japan (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1701.02798

zbMATH Keywords

applied probabilityrisk management

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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.

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Cited in

(7)

• Ruin time and aggregate claim amount up to ruin time for the perturbed risk process
• Numerical computation of Gerber-Shiu function for insurance surplus process with additional investment
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Computing the Gerber-Shiu function by frame duality projection
• Phase-type approximations perturbed by a heavy-tailed component for the Gerber-shiu function of risk processes with two-sided jumps
• Estimating the Gerber–Shiu function by Fourier–Sinc series expansion
• PH approximation of two-barrier ruin probability for Lévy risk having two-sided PH jumps

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