An insurance risk model with stochastic volatility

Chi, Yichun; Jaimungal, Sebastian; Lin, Xiaodong

doi:10.1016/j.insmatheco.2009.03.006

Cited by 6 publications

(3 citation statements)

References 26 publications

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“…For instance, several cases of the Sparre Andersen model were considered by Dickson and Qazvini (2016), Landriault and Willmot (2008), Li and Garrido (2004), Li and Sendova (2015), Lin et al (2003), Schmidli (1999), Willmot and Dickson (2003). Properties of the Gerber-Shiu function in the risk renewal models perturbed by diffusion were investigated by Chi et al (2010), Tsai (2003), Tsai and Willmot (2002), Xu et al (2014), Zhang and Cheung (2016), Zhang et al (2012Zhang et al ( , 2017bZhang et al ( , 2014. The Gerber-Shiu function of the risk models with various special strategies were considered by Avram et al (2015), Bratiichuk (2012), Cheung and Liu (2016), Cheung et al (2015), Dong et al (2009), Lin and Pavlova (2006), Lin and Sendova (2008), Liu et al (2015), Marciniak and Palmowski (2016), Shi et al (2013), Shiraishi (2016), Woo et al (2017), Zhang et al (2017a), Zhou et al (2015).…”

mentioning

confidence: 99%

The Gerber–Shiu Discounted Penalty Function for the Bi-Seasonal Discrete Time Risk Model

Navickienė¹,

Sprindys²,

Šiaulys³

2018

Informatica

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In this work, the discrete time risk model with two seasons is considered. In such model, the claims repeat with time periods of two units, i.e. claim distributions coincide at all even instants and at all odd instants. Our purpose is to derive an algorithm for calculating the values of the particular case of the Gerber-Shiu discounted penalty function E(e −δT 1 {T <∞}), where T is the time of ruin, and δ is a constant nonnegative force of interest. Theoretical results are illustrated by some numerical examples.

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mentioning

confidence: 99%

The Gerber–Shiu Discounted Penalty Function for the Bi-Seasonal Discrete Time Risk Model

Navickienė¹,

Sprindys²,

Šiaulys³

2018

Informatica

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“…Various structural features have been investigated in this context, for example, additional perturbation and a constant dividend barrier with claim sizes of rational transform [108], with a two-step premium rate allowing business after ruin occurs [59], perturbation and a constant interest with a periodic barrier dividend strategy [182], claim amounts of phase type [32], and a constant interest when the penalty function is independent of x [159]. Other features investigated include an additional stochastic premium modeled by a compound Poisson process with multiple layers [131], a hybrid dividend strategy [47], a stochastic interest modeled by a drifted Brownian motion and a compound Poisson process [161], and stochastic volatility driven by an Ornstein-Uhlenbeck process [42].…”

Section: Boundary Value Problemsmentioning

confidence: 99%

The Gerber-Shiu discounted penalty function: A review from practical perspectives

He¹,

Kawai²,

Shimizu³

et al. 2022

Preprint

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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 interests in actuarial science, whereas the conventional research has been focused on finding analytical or semi-analytical solutions, either of which is rarely available, except for limited classes of penalty functions on rather simple risk models. In contrast to its great generality, the Gerber-Shiu function does not seem sufficiently prevalent in practice, largely due to a variety of difficulties in numerical approximation and statistical inference. To enhance research activities on such implementation aspects, we provide a full review of existing formulations and underlying surplus processes, as well as an extensive survey of analytical, semi-analytical and asymptotic methods for the Gerber-Shiu function, which altogether shed fresh light on its numerical methods and statistical inference for further developments. On the basis of an exhaustive collection of 207 references, the present survey can serve as an insightful guidebook to model and method selection from practical perspectives as well.

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“…As the micro subject of the market economy, enterprises play a vital role in the process of creating and circulating social wealth. The stable and healthy development is the basis for enterprises to play a social role, and it is also the goal for enterprises in the process of production and operation (Chi, Deng and Mou, 2010) [5]. Enterprises can improve vitality under tax cut policy.…”

Section: Introductionmentioning

confidence: 99%

Tax Cut Policy, Business Environment and Enterprises High-quality Development: Evidence from China

et al. 2023

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Under the background of high-quality development, the support of fiscal policy is important for enterprises to achieve high-quality development. As a major initiative to promote the supply-side reform in China, can tax cut policy promote the high-quality development of enterprises? In order to explore this question, based on the data of China’s listed companies from 2015-2019, this paper finds that: (i) Tax cut policy can improve the total factor productivity of enterprises and empower their high-quality development. (ii) The impact is different for companies in different regions and firms with different nature of property rights. Tax cut policy can better promote the high-quality development for companies in central regions and state-owned enterprises in China. (iii) The optimization of business environment effectively strengthens the positive effect of tax cut policy on the enterprise high-quality development. The effect of tax cut policy on total factor productivity is more obvious for companies in better business environment.

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An insurance risk model with stochastic volatility

Cited by 6 publications

References 26 publications

The Gerber–Shiu Discounted Penalty Function for the Bi-Seasonal Discrete Time Risk Model

The Gerber–Shiu Discounted Penalty Function for the Bi-Seasonal Discrete Time Risk Model

The Gerber-Shiu discounted penalty function: A review from practical perspectives

Tax Cut Policy, Business Environment and Enterprises High-quality Development: Evidence from China

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