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Article: Gerber-Shiu analysis with a generalized penalty function

TitleGerber-Shiu analysis with a generalized penalty function
Authors
KeywordsCompound geometric distribution
Defective renewal equation
DFR
Dickson Hipp transform
Exponential distribution
Mixed Erlang distribution
NBU
NWU
Phase-type distribution
Issue Date2010
PublisherTaylor & Francis A S. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/03461238.asp
Citation
Scandinavian Actuarial Journal, 2010 n. 3, p. 185-199 How to Cite?
AbstractA generalization of the usual penalty function is proposed, and a defective renewal equation is derived for the Gerber-Shiu discounted penalty function in the classical risk model. This is used to derive the trivariate distribution of the deficit at ruin, the surplus prior to ruin, and the surplus immediately following the second last claim before ruin. The marginal distribution of the last interclaim time before ruin is derived and studied, and its joint distribution with the claim causing ruin is derived. © 2010 Taylor & Francis.
Persistent Identifierhttp://hdl.handle.net/10722/92947
ISSN
2015 Impact Factor: 1.596
2015 SCImago Journal Rankings: 0.956
ISI Accession Number ID
Funding AgencyGrant Number
Natural Sciences and Engineering Research Council of Canada
Munich Reinsurance Company
Institute for Quantitative Finance and Insurance at the University of Waterloo
Funding Information:

We wish to thank an anonymous referee for constructive comments that led to an improved version of the paper. Support for David Landriault and Gordon E. Willmot from grants from the Natural Sciences and Engineering Research Council of Canada is gratefully acknowledged. Support from the Munich Reinsurance Company is also gratefully acknowledged by Gordon E. Willmot as is support for Eric C. K. Cheung and Jae-Kyung Woo from the Institute for Quantitative Finance and Insurance at the University of Waterloo.

References

 

DC FieldValueLanguage
dc.contributor.authorCheung, ECKen_HK
dc.contributor.authorLandriault, Den_HK
dc.contributor.authorWillmot, GEen_HK
dc.contributor.authorWoo, JKen_HK
dc.date.accessioned2010-09-22T05:04:44Z-
dc.date.available2010-09-22T05:04:44Z-
dc.date.issued2010en_HK
dc.identifier.citationScandinavian Actuarial Journal, 2010 n. 3, p. 185-199en_HK
dc.identifier.issn0346-1238en_HK
dc.identifier.urihttp://hdl.handle.net/10722/92947-
dc.description.abstractA generalization of the usual penalty function is proposed, and a defective renewal equation is derived for the Gerber-Shiu discounted penalty function in the classical risk model. This is used to derive the trivariate distribution of the deficit at ruin, the surplus prior to ruin, and the surplus immediately following the second last claim before ruin. The marginal distribution of the last interclaim time before ruin is derived and studied, and its joint distribution with the claim causing ruin is derived. © 2010 Taylor & Francis.en_HK
dc.languageengen_HK
dc.publisherTaylor & Francis A S. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/03461238.aspen_HK
dc.relation.ispartofScandinavian Actuarial Journalen_HK
dc.subjectCompound geometric distributionen_HK
dc.subjectDefective renewal equationen_HK
dc.subjectDFRen_HK
dc.subjectDickson Hipp transformen_HK
dc.subjectExponential distributionen_HK
dc.subjectMixed Erlang distributionen_HK
dc.subjectNBUen_HK
dc.subjectNWUen_HK
dc.subjectPhase-type distributionen_HK
dc.titleGerber-Shiu analysis with a generalized penalty functionen_HK
dc.typeArticleen_HK
dc.identifier.emailCheung, ECK: eckc@hku.hken_HK
dc.identifier.emailWoo, JK: jkwoo@hku.hken_HK
dc.identifier.authorityCheung, ECK=rp01423en_HK
dc.identifier.authorityWoo, JK=rp01623en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1080/03461230902884013en_HK
dc.identifier.scopuseid_2-s2.0-77953789116en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-77953789116&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.issue3en_HK
dc.identifier.spage185en_HK
dc.identifier.epage199en_HK
dc.identifier.eissn1651-2030-
dc.identifier.isiWOS:000281323600002-
dc.publisher.placeNorwayen_HK
dc.identifier.scopusauthoridCheung, ECK=24461272100en_HK
dc.identifier.scopusauthoridLandriault, D=23479800100en_HK
dc.identifier.scopusauthoridWillmot, GE=6603756372en_HK
dc.identifier.scopusauthoridWoo, JK=26642855300en_HK

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