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Gerber–Shiu Function

2010· other· en· W2145886362 on OpenAlex
Alejandro Balbás, José Garrido

Why this work is in the frame

A frame that forgets how it found something cannot be audited. These are the routes that admitted this work.

affAt least one author lists a Canadian institution in the pinned OpenAlex snapshot.

Bibliographic record

VenueEncyclopedia of Quantitative Finance · 2010
Typeother
Languageen
FieldDecision Sciences
TopicProbability and Risk Models
Canadian institutionsConcordia University
Fundersnot available
KeywordsRuin theoryDividendPenalty methodActuarial scienceMathematical economicsStochastic gameFunction (biology)EconomicsPut optionReinsuranceInvestment (military)Risk modelMathematicsFinanceMathematical optimization

Abstract

fetched live from OpenAlex

Abstract Risk theory studies insurance risk models that describe the uncertainty associated with the claims recorded by an insurance company for the losses incurred by its policy holders. From premium and investment income, insurers set aside funds (surplus) to cover such losses. Ruin theory studies the fluctuations of these surplus processes. Classical problems include ruin (low) and dividend (high) barrier hitting times. In the last decade, the expected discounted penalty function, proposed by Gerber and Shiu 5, has unified the treatment of the joint distribution of the time to ruin, the surplus just prior to ruin, and the deficit at ruin. This article centers on this expected discounted penalty function, commonly called the Gerber–Shiu (G–S) function in the actuarial literature. The G–S function is somewhat akin to an expected discounted payoff function for financial instruments. A brief description of its general features is given here, together with references that discuss details, generalizations, and applications to insurance and finance.

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

Full frame distilled prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.

metaresearch head score (Codex)0.002
metaresearch head score (Gemma)0.003
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesMeta-epidemiology (narrow), Insufficient payload (model declined to judge)
Consensus categoriesInsufficient payload (model declined to judge)
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Not applicable · Consensus signal: Not applicable
GenreCandidate signal: Other · Consensus signal: Other
Teacher disagreement score0.067
Threshold uncertainty score1.000

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0020.003
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0010.000
Bibliometrics0.0000.001
Science and technology studies0.0000.001
Scholarly communication0.0000.000
Open science0.0010.000
Research integrity0.0010.001
Insufficient payload (model declined to judge)0.0040.002

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.078
GPT teacher head0.374
Teacher spread0.296 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it