Abstract In this paper, we consider the credit risk model with dependent rates of interest. The rates of interest {In, n ¼ 1, 2, ...} are assumed to have an ...
In this paper, we study a discrete time risk model based on exchangeable dependent claim occurrences. In particular, we obtain expressions for the finite time ...
Mar 21, 2022 · The Gerber-Shiu function provides a unified framework for the evaluation of a variety of risk quantities.
Missing: Credit Rates
The Gerber-Shiu function provides a unified framework for the evaluation of a variety of risk quantities.
Dec 6, 2022 · Abstract. The Gerber-Shiu function provides a unified framework for the evaluation of a variety of risk quantities.
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Downloadable (with restrictions)! The Gerber-Shiu function provides a unified framework for the evaluation of a variety of risk quantities.
The paper studies the expected value of a discounted penalty function for a classical risk model with a two-step premium rate. In this model, we firstly ...
May 8, 2024 · Yuen, Wang and Li (2007) considered the Gerber-Shiu expected discounted penalty function for this model with interest and a constant dividend ...
May 2, 2019 · This paper studies the statistical estimation of the Gerber-Shiu discounted penalty functions in a general spectrally negative Lévy risk ...
In this paper, we discuss a generalized Gerber–Shiu discounted penalty function, which relies on the moment of the time to ruin under the compound Poisson risk ...