On orderings and bounds in a generalized Sparre Andersen risk model
نویسندگان
چکیده
A generalization of the Gerber-Shiu function proposed by Cheung et al. (2009a) is used to derive some ordering properties for certain ruin-related quantities in a Sparre Andersen type risk model. Additional bounds and/or refinements can be obtained by further assuming that the claim size and the interclaim time distributions possess certain reliability properties. Finally, numerical examples are considered to compare the exact solution to the bounds.
منابع مشابه
Structural properties of Gerber–Shiu functions in dependent Sparre Andersen models
Available online xxxx Keywords: Defective renewal equation Compound geometric distribution Ladder height Lundberg's fundamental equation Generalized adjustment coefficient Cramer's asymptotic ruin formula Esscher transform Last interclaim time NWU NBU a b s t r a c t The structure of various Gerber–Shiu functions in Sparre Andersen models allowing for possible dependence between claim sizes and...
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