کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077274 | 1374124 | 2008 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In this paper, we consider the Sparre Andersen risk model with an arbitrary interclaim time distribution and a fairly general class of distributions for the claim sizes. Via a two-step procedure which involves a combination of a probabilitic and an analytic argument, an explicit expression is derived for the Gerber-Shiu discounted penalty function, subject to some restrictions on its form. A special case of Sparre Andersen risk models is then further analyzed, whereby the claim sizes' distribution is assumed to be a mixture of exponentials. Finally, a numerical example follows to determine the impact on various ruin related quantities of assuming a heavy-tail distribution for the interclaim times.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 42, Issue 2, April 2008, Pages 600-608
Journal: Insurance: Mathematics and Economics - Volume 42, Issue 2, April 2008, Pages 600-608
نویسندگان
David Landriault, Gordon Willmot,