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The Markovian Shot-noise Risk Model: A Numerical Method for Gerber-Shiu Functions
In this paper, we consider discounted penalty functions, also called Gerber-Shiu functions, in a Markovian shot-noise environment. At first, we exploit the underlying structure of piecewise-deterministic Markov processes (PDMPs) to show that these penalty functions solve certain partial integro-diff...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2023
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9911511/ https://www.ncbi.nlm.nih.gov/pubmed/36785596 http://dx.doi.org/10.1007/s11009-023-10001-w |