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Article: Some remarks on delayed renewal risk models
| Title | Some remarks on delayed renewal risk models | ||||
|---|---|---|---|---|---|
| Authors | |||||
| Keywords | Cramer's asymptotic ruin formula Delayed renewal risk model Gerber-Shiu function Last interclaim time Last ladder height | ||||
| Issue Date | 2010 | ||||
| Publisher | Peeters 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? | ||||
| Abstract | Some 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 Identifier | http://hdl.handle.net/10722/157715 | ||||
| ISSN | 2023 Impact Factor: 1.7 2023 SCImago Journal Rankings: 0.979 | ||||
| ISI Accession Number ID |
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 Field | Value | Language |
|---|---|---|
| dc.contributor.author | Woo, JK | en_HK |
| dc.date.accessioned | 2012-08-08T08:54:23Z | - |
| dc.date.available | 2012-08-08T08:54:23Z | - |
| dc.date.issued | 2010 | en_HK |
| dc.identifier.citation | Astin Bulletin, 2010, v. 40 n. 1, p. 199-219 | en_HK |
| dc.identifier.issn | 0515-0361 | en_HK |
| dc.identifier.uri | http://hdl.handle.net/10722/157715 | - |
| dc.description.abstract | Some 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.language | eng | en_US |
| dc.publisher | Peeters Publishers. The Journal's web site is located at http://poj.peeters-leuven.be/content.php?url=journal&journal_code=AST | en_HK |
| dc.relation.ispartof | ASTIN Bulletin | en_HK |
| dc.subject | Cramer's asymptotic ruin formula | en_HK |
| dc.subject | Delayed renewal risk model | en_HK |
| dc.subject | Gerber-Shiu function | en_HK |
| dc.subject | Last interclaim time | en_HK |
| dc.subject | Last ladder height | en_HK |
| dc.title | Some remarks on delayed renewal risk models | en_HK |
| dc.type | Article | en_HK |
| dc.identifier.email | Woo, JK: jkwoo@hku.hk | en_HK |
| dc.identifier.authority | Woo, JK=rp01623 | en_HK |
| dc.description.nature | link_to_subscribed_fulltext | en_US |
| dc.identifier.doi | 10.2143/AST.40.1.2049225 | en_HK |
| dc.identifier.scopus | eid_2-s2.0-77953771397 | en_HK |
| dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-77953771397&selection=ref&src=s&origin=recordpage | en_HK |
| dc.identifier.volume | 40 | en_HK |
| dc.identifier.issue | 1 | en_HK |
| dc.identifier.spage | 199 | en_HK |
| dc.identifier.epage | 219 | en_HK |
| dc.identifier.isi | WOS:000278627600008 | - |
| dc.publisher.place | Belgium | en_HK |
| dc.identifier.scopusauthorid | Woo, JK=26642855300 | en_HK |
| dc.identifier.issnl | 0515-0361 | - |