Centro de Documentación de Fundación MAPFRE - Some remarks on delayed renewal risk models

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.
Registros relacionados: En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 03/05/2010 Volumen 40 Número 1 - mayo 2010 , p. 199-219Otras clasificaciones: 6

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