Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation
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Publication:2050919
DOI10.1016/j.cam.2021.113703zbMath1476.91038OpenAlexW3178651805MaRDI QIDQ2050919
Publication date: 1 September 2021
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2021.113703
Processes with independent increments; Lévy processes (60G51) Algorithms for approximation of functions (65D15) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Risk models (general) (91B05)
Related Items (5)
Infinite series expansion of some finite-time dividend and ruin related functions ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Closed-form option pricing for exponential Lévy models: a residue approach ⋮ Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times ⋮ Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
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