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Mar 1, 2023 · The Gerber-Shiufunction provides a unified framework for the evaluation of a variety of risk quantities.
这一突破性方法不仅显著提升了风险理论的研究维度,更使得该函数体系发展成为现代破产理论分析的核心工具。 在经典的风险模型中,通常假设索赔额和索赔间隔时间之间相互独立,这在一定程度上简化了数学计算。
Jul 22, 2025 · 通过对模型中各个随机变量的概率特性进行深入分析，利用概率论和随机过程的相关理论，能够得到Gerber-Shiu函数的精确表达式。 这种精确的解析解不仅为风险评估提供了准确的数值结果，更重要的是，它揭示了风险因素之间的内在关系和作用机制。
本文讨论时刻变换的复合泊松风险模型中的Gerber-Shiu函数, 首先给出了Gerber-Shiu函数满足的积微分方程, 接着引入Laplace变换的对偶变换 Elzaki变换, 得到了Gerber-Shiu函数的Elzaki变换的具体形式, 最后用一个数值例子验证了用Elzaki逆变换求Gerber-Shiu函数的方法并分析了 ...
Mar 21, 2022 · The Gerber-Shiufunction provides a unified framework for the evaluation of a variety of risk quantities.
Abstract: In this paper we consider a risk process perturbed by diffusion and obtain the integro-differential equation for the Gerber-Shiu expected discounted penalty function.
In this paper, we propose a new eficient method for calculating the Gerber-Shiu discounted penalty function. Generally, the Gerber-Shiufunc-tion usually satisfies a class of integro-differential equation.
