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Document Details : Title: Some Remarks on Delayed Renewal Risk Models Author(s): WOO, Jae-Kyung Journal: ASTIN Bulletin Volume: 40 Issue: 1 Date: 2010 Pages: 199-219 DOI: 10.2143/AST.40.1.2049225 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 time-dependent claim sizes is provided, and also the usual delayed model with time-independent 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. |
