کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076296 | 1477209 | 2016 | 7 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Gerber-Shiu functionals for classical risk processes perturbed by an α-stable motion
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We study the Gerber-Shiu functional of the classical risk process perturbed by a spectrally negative α-stable motion. We provide representations of the scale functions of the process as an infinite series of convolutions of given functions. This, together with a result from Biffis and Kyprianou (2010), allows us to obtain a representation of the Gerber-Shiu functional as an infinite series of convolutions. Moreover, we calculate the Laplace transform and derive a defective renewal equation for the Gerber-Shiu functional, thus extending previous work of Furrer (1998) and of Tsai and Willmot (2002). We also obtain asymptotic expressions for the joint tail distribution of the severity of ruin and the surplus before ruin.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 66, January 2016, Pages 22-28
Journal: Insurance: Mathematics and Economics - Volume 66, January 2016, Pages 22-28
نویسندگان
Ekaterina T. Kolkovska, Ehyter M. MartÃn-González,