Construct · 1 fields · 1 citations

Gerber-Shiu function: a standalone construct

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Actuarial science

an expected discounted penalty that jointly studies the time of ruin, the surplus just before ruin and the deficit at ruin.

In actuarial science, Gerber-Shiu function refers to an expected discounted penalty that jointly studies the time of ruin, the surplus just before ruin and the deficit at ruin. This meaning comes from Gerber (1998) in North American Actuarial Journal.[1]

Unit
Recovery means
Measured by

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Nearby constructs

function5 fields · 6 citationsjingle · one word, five constructs surplus4 fields · 4 citationsjingle · one word, four constructs

References

Gerber, H. U., & Shiu, E. S. W. (1998). On the Time Value of Ruin. North American Actuarial Journal, 2(1), 48-72. https://doi.org/10.1080/10920277.1998.10595671

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