کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076301 | 1477209 | 2016 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On the analysis of ruin-related quantities in the delayed renewal risk model
ترجمه فارسی عنوان
در تجزیه و تحلیل مقادیر مربوط به خراب در مدل ریسک تمدید تاخیر
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
This paper first explores the Laplace transform of the time of ruin in the delayed renewal risk model. We show that GÌδd(u), the Laplace transform of the time of ruin in the delayed model, also satisfies a defective renewal equation and use this to study the Cramer-Lundberg asymptotics and bounds of GÌδd(u). Next, the paper considers the stochastic decomposition of the residual lifetime of maximal aggregate loss and more generally Lδd in the delayed renewal risk model, using the framework equation introduced in Kim and Willmot (2011) and the defective renewal equation for the Laplace transform of the time of ruin. As a result of the decomposition, we propose a way to calculate the mean and the moments of the proper deficit in the delayed renewal risk model. Lastly, closed form expressions are derived for the Gerber-Shiu function in the delayed renewal risk model with the distributional assumption of time until the first claim and simulation results are included to assess the impact of different distributional assumptions on the time until the first claim.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 66, January 2016, Pages 77-85
Journal: Insurance: Mathematics and Economics - Volume 66, January 2016, Pages 77-85
نویسندگان
So-Yeun Kim, Gordon E. Willmot,