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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

252 42

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

114 11

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

85 11

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

50 10

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

72 8- PDF

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

29 8- PDF

Extending pricing rules with general risk functions

- A. Balbás, Raquel Balbás, J. Garrido
- Economics, Computer Science
- Eur. J. Oper. Res.
- 16 February 2010

TLDR

36 6- PDF

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

53 6

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

47 5- PDF

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

42 4