کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077517 | 1374134 | 2010 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models](/preview/png/5077517.png)
چکیده انگلیسی
The structure of various Gerber-Shiu functions in Sparre Andersen models allowing for possible dependence between claim sizes and interclaim times is examined. The penalty function is assumed to depend on some or all of the surplus immediately prior to ruin, the deficit at ruin, the minimum surplus before ruin, and the surplus immediately after the second last claim before ruin. Defective joint and marginal distributions involving these quantities are derived. Many of the properties in the Sparre Andersen model without dependence are seen to hold in the present model as well. A discussion of Lundberg's fundamental equation and the generalized adjustment coefficient is given, and the connection to a defective renewal equation is considered. The usual Sparre Andersen model without dependence is also discussed, and in particular the case with exponential claim sizes is considered.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 46, Issue 1, February 2010, Pages 117-126
Journal: Insurance: Mathematics and Economics - Volume 46, Issue 1, February 2010, Pages 117-126
نویسندگان
Eric C.K. Cheung, David Landriault, Gordon E. Willmot, Jae-Kyung Woo,