Asymptotic behavior of the Gerber–Shiu discounted penalty function in the Erlang(2) risk process with subexponential claims
We investigate the asymptotic behavior of the Gerber–Shiu discounted penalty function ɸ(u) = E(e−δT 1{T <∞} | U(0) = u), where T denotes the time to ruin in the Erlang(2) risk process. We obtain an asymptotic expression for the discounted penalty function when claim sizes are subexponentially dis...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Vilnius University Press
2011-07-01
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| Series: | Nonlinear Analysis |
| Subjects: | |
| Online Access: | http://www.zurnalai.vu.lt/nonlinear-analysis/article/view/14095 |
| _version_ | 1811310889561751552 |
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| author | Jelena Kočetova Jonas Šiaulys |
| author_facet | Jelena Kočetova Jonas Šiaulys |
| author_sort | Jelena Kočetova |
| collection | DOAJ |
| description | We investigate the asymptotic behavior of the Gerber–Shiu discounted penalty function ɸ(u) = E(e−δT 1{T <∞} | U(0) = u), where T denotes the time to ruin in the Erlang(2) risk process. We obtain an asymptotic expression for the discounted penalty function when claim sizes are subexponentially distributed. |
| first_indexed | 2024-04-13T10:08:09Z |
| format | Article |
| id | doaj.art-078bbf3d1edc43aab50d4b244559b811 |
| institution | Directory Open Access Journal |
| issn | 1392-5113 2335-8963 |
| language | English |
| last_indexed | 2024-04-13T10:08:09Z |
| publishDate | 2011-07-01 |
| publisher | Vilnius University Press |
| record_format | Article |
| series | Nonlinear Analysis |
| spelling | doaj.art-078bbf3d1edc43aab50d4b244559b8112022-12-22T02:51:01ZengVilnius University PressNonlinear Analysis1392-51132335-89632011-07-01163Asymptotic behavior of the Gerber–Shiu discounted penalty function in the Erlang(2) risk process with subexponential claimsJelena Kočetova0Jonas Šiaulys1Vilnius University, LithuaniaVilnius University, LithuaniaWe investigate the asymptotic behavior of the Gerber–Shiu discounted penalty function ɸ(u) = E(e−δT 1{T <∞} | U(0) = u), where T denotes the time to ruin in the Erlang(2) risk process. We obtain an asymptotic expression for the discounted penalty function when claim sizes are subexponentially distributed.http://www.zurnalai.vu.lt/nonlinear-analysis/article/view/14095Gerber–Shiu discounted penalty functionsubexponential claim size, defective renewal equation |
| spellingShingle | Jelena Kočetova Jonas Šiaulys Asymptotic behavior of the Gerber–Shiu discounted penalty function in the Erlang(2) risk process with subexponential claims Nonlinear Analysis Gerber–Shiu discounted penalty function subexponential claim size , defective renewal equation |
| title | Asymptotic behavior of the Gerber–Shiu discounted penalty function in the Erlang(2) risk process with subexponential claims |
| title_full | Asymptotic behavior of the Gerber–Shiu discounted penalty function in the Erlang(2) risk process with subexponential claims |
| title_fullStr | Asymptotic behavior of the Gerber–Shiu discounted penalty function in the Erlang(2) risk process with subexponential claims |
| title_full_unstemmed | Asymptotic behavior of the Gerber–Shiu discounted penalty function in the Erlang(2) risk process with subexponential claims |
| title_short | Asymptotic behavior of the Gerber–Shiu discounted penalty function in the Erlang(2) risk process with subexponential claims |
| title_sort | asymptotic behavior of the gerber shiu discounted penalty function in the erlang 2 risk process with subexponential claims |
| topic | Gerber–Shiu discounted penalty function subexponential claim size , defective renewal equation |
| url | http://www.zurnalai.vu.lt/nonlinear-analysis/article/view/14095 |
| work_keys_str_mv | AT jelenakocetova asymptoticbehaviorofthegerbershiudiscountedpenaltyfunctionintheerlang2riskprocesswithsubexponentialclaims AT jonassiaulys asymptoticbehaviorofthegerbershiudiscountedpenaltyfunctionintheerlang2riskprocesswithsubexponentialclaims |