کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077508 | 1374134 | 2010 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence
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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 asymptotic behavior of the Gerber-Shiu expected discounted penalty function in the renewal risk model. Under the assumption that the claim-size distribution has a convolution-equivalent density function, which allows both heavy-tailed and light-tailed cases, we establish some asymptotic formulas for the Gerber-Shiu function with a fairly general penalty function. These formulas become completely transparent in the compound Poisson risk model or for certain choices of the penalty function in the renewal risk model. A by-product of this work is an extension of the Wiener-Hopf factorization to include the times of ascending and descending ladders in the continuous-time renewal risk model.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 46, Issue 1, February 2010, Pages 19-31
Journal: Insurance: Mathematics and Economics - Volume 46, Issue 1, February 2010, Pages 19-31
نویسندگان
Qihe Tang, Li Wei,