Some remarks on delayed renewal risk models

Persistent link
MARCXML Dublin Core RDF MODS Cita bibliográfica BibTeX SWAP METS

Record image

Articles Articles Some remarks on delayed renewal risk models - Woo, Jae-Kyung

Collection: Articles

Title: Some remarks on delayed renewal risk models / Jae-Kyung Woo

Notes: Sumario: Some extensions to the delayed renewal risk models are considered. In particular, the independence assumption between the interclaim time and the subsequent claim size is relaxed, and the classical Gerber-Shiu penalty function is generalized by incorporating more variables. As a result, general structures regarding various joint densities of ruin related quantities as well as their probabilistic interpretations are provided. The numerical example in case of time-dependent claim sizes is provided, and also the usual delayed model with time-independent claim sizes is discussed including a special case with exponential claim sizes. Furthermore, asymptotic formulas for the associated compound geometric tail for the present model are derived using two alternative methods.

Other categories: 6

Derechos: In Copyright (InC):

See issue detail See issue detail