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Fourier-cosine method for Gerber–Shiu functions · Study

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ArticleFourier-cosine method for Gerber–Shiu functions

Ki Wai Chau2015

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Articlegreen2015

Fourier-cosine method for Gerber–Shiu functions

Ki Wai Chau · Sheung Chi Phillip Yam · Hailiang Yang

33 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Stochastic processes and financial applications Insurance, Mortality, Demography, Risk Management

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References

2004Lévy Processes and Stochastic Calculus 1998On the Time Value of Ruin 2008A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions 2000The moments of the time of ruin, the surplus before ruin, and the deficit at ruin 1999Analysis of a defective renewal equation arising in ruin theory 2006On The Expected Discounted Penalty function for Lévy Risk Processes 2007On the Gerber–Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution 2009An algebraic operator approach to the analysis of Gerber–Shiu functions

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2014Fourier-cosine method for ruin probabilities 2021Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2005The Density of the Time to Ruin in the Classical Poisson Risk Modelarticle · 3 shared references 2006On the discounted penalty function in the renewal risk model with general interclaim timesarticle · 3 shared references 2002On the expected discounted penalty function at ruin of a surplus process with interestarticle · 3 shared references 2004Collective Risk Theoryother · 3 shared references 2003Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Processarticle · 3 shared references 2003The Gerber–Shiu discounted penalty function in the stationary renewal risk modelarticle · 3 shared references

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Year2015

Typearticle

Published2015-01-21

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations33

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.insmatheco.2015.01.008

openalex_workW2017385320

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