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Article: Some remarks on delayed renewal risk models

TitleSome remarks on delayed renewal risk models
Authors
KeywordsCramer's asymptotic ruin formula
Delayed renewal risk model
Gerber-Shiu function
Last interclaim time
Last ladder height
Issue Date2010
PublisherPeeters Publishers. The Journal's web site is located at http://poj.peeters-leuven.be/content.php?url=journal&journal_code=AST
Citation
Astin Bulletin, 2010, v. 40 n. 1, p. 199-219 How to Cite?
AbstractSome extensions to the delayed renewal risk models are considered. In particular, the independence assumption between the interclaim time and the subsequent claim size is relaxed, and the classical Gerber-Shiu penalty function is generalized by incorporating more variables. As a result, general structures regarding various joint densities of ruin related quantities as well as their probabilistic interpretations are provided. The numerical example in case of timedependent claim sizes is provided, and also the usual delayed model with timeindependent claim sizes is discussed including a special case with exponential claim sizes. Furthermore, asymptotic formulas for the associated compound geometric tail for the present model are derived using two alternative methods. © 2010 by Astin Bulletin. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/157715
ISSN
2015 Impact Factor: 0.732
2015 SCImago Journal Rankings: 0.979
ISI Accession Number ID
Funding AgencyGrant Number
Institute for Quantitative Finance and Insurance at the University of Waterloo
Funding Information:

Support for the author from the Institute for Quantitative Finance and Insurance at the University of Waterloo is gratefully acknowledged. Also, the author thanks the anonymous referees for their valuable comments on this work.

References

 

DC FieldValueLanguage
dc.contributor.authorWoo, JKen_HK
dc.date.accessioned2012-08-08T08:54:23Z-
dc.date.available2012-08-08T08:54:23Z-
dc.date.issued2010en_HK
dc.identifier.citationAstin Bulletin, 2010, v. 40 n. 1, p. 199-219en_HK
dc.identifier.issn0515-0361en_HK
dc.identifier.urihttp://hdl.handle.net/10722/157715-
dc.description.abstractSome extensions to the delayed renewal risk models are considered. In particular, the independence assumption between the interclaim time and the subsequent claim size is relaxed, and the classical Gerber-Shiu penalty function is generalized by incorporating more variables. As a result, general structures regarding various joint densities of ruin related quantities as well as their probabilistic interpretations are provided. The numerical example in case of timedependent claim sizes is provided, and also the usual delayed model with timeindependent claim sizes is discussed including a special case with exponential claim sizes. Furthermore, asymptotic formulas for the associated compound geometric tail for the present model are derived using two alternative methods. © 2010 by Astin Bulletin. All rights reserved.en_HK
dc.languageengen_US
dc.publisherPeeters Publishers. The Journal's web site is located at http://poj.peeters-leuven.be/content.php?url=journal&journal_code=ASTen_HK
dc.relation.ispartofASTIN Bulletinen_HK
dc.subjectCramer's asymptotic ruin formulaen_HK
dc.subjectDelayed renewal risk modelen_HK
dc.subjectGerber-Shiu functionen_HK
dc.subjectLast interclaim timeen_HK
dc.subjectLast ladder heighten_HK
dc.titleSome remarks on delayed renewal risk modelsen_HK
dc.typeArticleen_HK
dc.identifier.emailWoo, JK: jkwoo@hku.hken_HK
dc.identifier.authorityWoo, JK=rp01623en_HK
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.2143/AST.40.1.2049225en_HK
dc.identifier.scopuseid_2-s2.0-77953771397en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-77953771397&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume40en_HK
dc.identifier.issue1en_HK
dc.identifier.spage199en_HK
dc.identifier.epage219en_HK
dc.identifier.isiWOS:000278627600008-
dc.publisher.placeBelgiumen_HK
dc.identifier.scopusauthoridWoo, JK=26642855300en_HK

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