Concepedia

Gerber-shiu Function

The Gerber-Shiu Function is a discounted expected penalty function in ruin theory that belongs to the class of actuarial risk measures and is distinguished by its conditioning on the time of ruin, the surplus level prior to ruin, and the deficit at ruin in a continuous-time insurance risk model.

138

Publications

5.4K

Citations

170

Authors

97

Institutions

Publications per year

2017–2026

14

Variants

Gerber-shiu Discounted Penalty FunctionGerber-shiu Expected Penalty Function

Parents

Publications

138

Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks

Qihe Tang · Stochastic Processes and their Applications · 2003 · 346 citations

, , +16

The classical risk model with a constant dividend barrier: analysis of the Gerber–Shiu discounted penalty function

X. Sheldon Lin, Gordon E. Willmot, Steve Drekic · Insurance Mathematics and Economics · 2003 · 225 citations

, , +11

Some remarks on first passage of Lévy processes, the American put and pasting principles

The Annals of Applied Probability · 2005 · 186 citations · Full text

, , +16

An Introduction to Mathematical Risk Theory. By Hans U. Gerber [S. S. Huebner Foundation, R. D. Irwin Inc. Homeward Illinois, 1979]

S. Haberman · Journal of the Institute of Actuaries · 1981 · 145 citations

, , +14

On the ruin probabilities in a general economic environment

Harri Nyrhinen · Stochastic Processes and their Applications · 1999 · 116 citations

, , +11

1–5 of 138

Authors

170

  1. ZZ
    Zhimin Zhang

    Chongqing University, China

    13 publications · 368 citations

    13

    h-index

  2. GE
    Gordon E. Willmot

    University of Waterloo, Canada

    12 publications · 703 citations

    12

    h-index

  3. EC
    Eric C.K. Cheung

    University of Hong Kong, Hong Kong SAR China

    13 publications · 438 citations

    12

    h-index

  4. DL
    David Landriault

    University of Waterloo, Canada

    10 publications · 362 citations

    10

    h-index

  5. SL
    Shuanming Li

    The University of Melbourne, Australia

    9 publications · 375 citations

    9

    h-index

1–5 of 170

Institutions

97

  1. University of Waterloo

    Waterloo, Canada

    17 h-index

    40 publications

    2K citations

  2. University of Hong Kong

    Pok Fu Lam, Hong Kong

    15 h-index

    27 publications

    1.1K citations

  3. Chongqing University

    Chongqing, China

    14 h-index

    24 publications

    645 citations

  4. The University of Melbourne

    Melbourne, Australia

    9 h-index

    12 publications

    389 citations

  5. Nankai University

    Tianjin, China

    9 h-index

    16 publications

    343 citations

  6. University of Lausanne

    Lausanne, Switzerland

    7 h-index

    9 publications

    493 citations

  7. Concordia University

    Montreal, Canada

    6 h-index

    8 publications

    374 citations

  8. University of Toronto

    Toronto, Canada

    5 h-index

    5 publications

    371 citations

1–8 of 97

Venues

  1. Insurance Mathematics and Economics

    33 publications · 1.4K citations

    22

    h-index

  2. Scandinavian Actuarial Journal

    23 publications · 796 citations

    17

    h-index

  3. North American Actuarial Journal

    NAAJ · 11 publications · 480 citations

    11

    h-index

  4. Stochastic Processes and their Applications

    7 publications · 667 citations

    7

    h-index

  5. Journal of Applied Probability

    JAP · 6 publications · 268 citations

    6

    h-index

1–5