Some remarks on delayed renewal risk models
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| 001 | MAP20150026972 | ||
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| 005 | 20150911144900.0 | ||
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| 100 | 1 | $0MAPA20130010298$aWoo, Jae-Kyung | |
| 245 | 1 | 0 | $aSome remarks on delayed renewal risk models$cJae-Kyung Woo |
| 520 | $aSome 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. | ||
| 773 | 0 | $wMAP20077000420$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association$x0515-0361$g03/05/2010 Volumen 40 Número 1 - mayo 2010 , p. 199-219 |