An asymptotic relationship of the Gerber-Shiu discount penalty function in the compound binomial risk model

MaRDI QIDQ3500538zbMATH OpenFDO

Authors Rizhao Gong, Jiezhong Zou

Publication date 3 June 2008

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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(5)

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• Pollazek-Khinchin formula for the ruin probability in compound binominal risk model
• The Gerber-Shiu discounted penalty function in the compound Markov binomial model
• The Gerber-Shiu discounted penalty function for a compound binomial risk model with by-claims
• On the Gerber–Shiu function with random discount rate

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