Some remarks on delayed renewal risk models

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

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

Notas: 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.

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