The Gerber-Shiu Expected Discounted Penalty Function: An Application to Poverty Trapping
In this article, we consider a risk process to model the capital of a household. Our work focuses on the analysis of the trapping time of such a process, where trapping occurs when a household's capital level falls into the poverty area. A function analogous to the classical Gerber-Shiu function is introduced, which incorporates information on the trapping time, the capital surplus immediately before trapping and the capital deficit at trapping. We derive, under some assumptions, a model belonging to the family of generalised beta (GB) distributions that describes the distribution of the capital deficit at trapping given that trapping occurs. Affinities between the capital deficit at trapping and a class of poverty measures, known as the Foster-Greer-Thorbecke (FGT) index, are presented. The versatility of this model to estimate FGT indices is assessed using household microdata from Burkina Faso's Enqu\^ete Multisectorielle Continue (EMC) 2014.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
Generalized Expected Discounted Penalty Function at General Drawdown for Lévy Risk Processes
This paper considers an insurance surplus process modeled by a spectrally negative L\'{e}vy process. Instead of the time of ruin in the traditional setting, we apply the time of drawdown as the risk indicator in this pap…
The Gerber-Shiu discounted penalty function: A review from practical perspectives
The Gerber-Shiu function provides a unified framework for the evaluation of a variety of risk quantities. Ever since its establishment, it has attracted constantly increasing interests in actuarial science, whereas the c…
SurveyOn the Optimal Dividend Problem for Insurance Risk Models with Surplus-Dependent Premiums
This paper concerns an optimal dividend distribution problem for an insurance company with surplus-dependent premium. In the absence of dividend payments, such a risk process is a particular case of so-called piecewise d…
Phase-type Approximation of the Gerber-Shiu Function
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 ruin, and the surplus prior to ruin. It…
Vocal Bursts Type PredictionReinsurance with neural networks
We consider an insurance company which faces financial risk in the form of insurance claims and market-dependent surplus fluctuations. The company aims to simultaneously control its terminal wealth (e.g. at the end of an…