44 citations · 231 across the 45 of their papers we have counts for
Showing q-fin.CPShow all
2 papers · 1 filter
q-fin.CP2017
Phase-type Approximation of the Gerber-Shiu Function
Kazutoshi Yamazaki
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…
q-fin.CP2010★ 2 cited
Solving Optimal Dividend Problems via Phase-type Fitting Approximation of Scale Functions
Masahiko Egami, Kazutoshi Yamazaki
The optimal dividend problem by De Finetti (1957) has been recently generalized to the spectrally negative Lévy model where the implementation of optimal strategies draws upon the…