Asymptotic behavior of the Gerber-Shiu discounted penalty function in the Erlang(2) risk process with subexponential claims

MaRDI QIDQ4920772zbMATH OpenFDO

Authors J. Kočetova, Jonas Šiaulys

Publication date 22 May 2013

zbMATH Keywords

defective renewal equationGerber-Shiu discounted penalty functionsubexponential claim sizes

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cited in

(7)

• On corrected phase-type approximations of the time value of ruin with heavy tails
• On the Gerber-Shiu discounted penalty function for subexponential claims
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Asymptotic estimates of the discounted penalty function in a perturbed risk model
• The Gerber-Shiu discounted penalty function for Erlang distributed claims
• Asymptotic estimates of Gerber-Shiu functions in the renewal risk model with exponential claims
• Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence

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