Some remarks on delayed renewal risk models

Link persistente
MARCXML Dublin Core RDF MODS Cita bibliográfica BibTeX SWAP METS

Imagem do registro

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

Coleção: Artigos

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.

Outras classificações: 6

Derechos: In Copyright (InC):

Ver detalhe do número Ver detalhe do número