On a general class of renewal risk process: analysis of the Gerber-Shiu function
نویسندگان
چکیده
منابع مشابه
Asymptotic aspects of the Gerber–Shiu function in the renewal risk model using Wiener–Hopf factorization and convolution equivalence
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 bec...
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ژورنال
عنوان ژورنال: Advances in Applied Probability
سال: 2005
ISSN: 0001-8678,1475-6064
DOI: 10.1017/s0001867800000501