英文标题：
《Phase-type Approximation of the Gerber-Shiu Function》
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作者：
Kazutoshi Yamazaki
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最新提交年份：
2017
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英文摘要：
The Gerber-Shiu function provides a way of measuring the risk of an insurance company. It is given by the expected value of a function that depends on the ruin time, the deficit at ruin, and the surplus prior to ruin. Its computation requires the evaluation of the overshoot/undershoot distributions of the surplus process at ruin. In this paper, we use the recent developments of the fluctuation theory and approximate it in a closed form by fitting the underlying process by phase-type Levy processes. A sequence of numerical results are given.
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中文摘要：
Gerber Shiu函数提供了一种衡量保险公司风险的方法。它由一个函数的期望值给出，该函数依赖于破产时间、破产时的赤字和破产前的盈余。其计算要求评估破产时盈余过程的超调/欠调分布。在本文中，我们利用波动理论的最新发展，通过用相位型Levy过程拟合基本过程，以闭合形式对其进行近似。给出了一系列数值结果。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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