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- Publications
- Influence
On ruin for the Erlang(n) risk process
- Shuanming Li, J. Garrido
- Mathematics, Economics
- 18 June 2004
Abstract A defective renewal equation is derived for the expected discounted penalty due at ruin, φ δ (u)=E[ e −δT w(U(T − ),|U(T)|)I(T in a risk model with Erlang(n) claim inter-arrival times. The… Expand
On a class of renewal risk models with a constant dividend barrier
- Shuanming Li, J. Garrido
- Mathematics
- 6 December 2004
Abstract We consider a compound renewal (Sparre Andersen) risk process in the presence of a constant dividend barrier in which the claim waiting times are generalized Erlang( n ) distributed (i.e.,… Expand
On a general class of renewal risk process: analysis of the Gerber-Shiu function
- Shuanming Li, J. Garrido
- Mathematics
- Advances in Applied Probability
- 1 September 2005
We consider a compound renewal (Sparre Andersen) risk process with interclaim times that have a K n distribution (i.e. the Laplace transform of their density function is a ratio of two polynomials of… Expand
The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
- Shuanming Li, J. Garrido
- Mathematics
- 1 May 2005
We consider a Sparre Andersen risk process that is perturbed by an independent diffusion process, in which claim inter-arrival times have a generalized Erlang(n) distribution (i.e. as the sum of n… Expand
On The Expected Discounted Penalty function for Lévy Risk Processes
- J. Garrido, M. Morales
- Mathematics
- 1 October 2006
Abstract Dufresne et al. (1991) introduced a general risk model defined as the limit of compound Poisson processes. Such a model is either a compound Poisson process itself or a process with an… Expand
Ruin Probabilities for Two Classes of Risk Processes
- Shuanming Li, J. Garrido
- Mathematics
- ASTIN Bulletin
- 1 May 2005
We consider a risk model with two independent classes of insurance risks. We assume that the two independent claim counting processes are, respectively, Poisson and Sparre Andersen processes with… Expand
Extending pricing rules with general risk functions
- A. Balbás, Raquel Balbás, J. Garrido
- Economics, Computer Science
- Eur. J. Oper. Res.
- 16 February 2010
TLDR
Generalized linear models for dependent frequency and severity of insurance claims
- C. Genest, J. Garrido, J. Schulz
- Economics, Mathematics
- 1 December 2015
Traditionally, claim counts and amounts are assumed to be independent in non-life insurance. This paper explores how this oft unwarranted assumption can be relaxed in a simple way while incorporating… Expand
Fourier Inversion Formulas in Option Pricing and Insurance
- D. Dufresne, J. Garrido, M. Morales
- Mathematics
- 1 September 2009
Several authors have used Fourier inversion to compute prices of puts and calls, some using Parseval’s theorem. The expected value of max (S – K, 0) also arises in excess-of-loss or stop-loss… Expand
Moments of compound renewal sums with discounted claims
- Ghislain Léveillé, J. Garrido
- Mathematics
- 20 April 2001
Abstract Delbaen and Haezendonck [Ins. Math. Econ. 6 (1987) 85] and Willmot [Scand. Actuarial J. 1 (1989) 1] give an analytical expression for the net premium density of a compound Poisson present… Expand