On the approximation of functions satisfying defective renewal equations

DOI10.1016/J.CAM.2011.07.014zbMATH Open1234.65021arXiv1012.3844OpenAlexW2088425426MaRDI QIDQ654129FDOQ654129

Authors: C. Sangüesa 

Publication date: 21 December 2011

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Abstract: Functions satisfying a defective renewal equation arise commonly in applied probability models. Usually these functions don't admit a explicit expression. In this work we consider to approximate them by means of a gamma-type operator given in terms of the Laplace transform of the initial function. We investigate which conditions on the initial parameters of the renewal equation give optimal order of uniform convergence in the approximation. We apply our results to ruin probability in the classical risk model, paying special attention to mixtures of gamma claim amounts.

Full work available at URL: https://arxiv.org/abs/1012.3844

Recommendations

• On asymptotic equivalence among the solutions of some defective renewal equations
• Analysis of a defective renewal equation arising in ruin theory
• SOME NEW APPROXIMATIONS FOR THE RENEWAL FUNCTION
• An approximate solution of the integral equation of renewal theory
• Asymptotics for solutions of a defective renewal equation with applications

zbMATH Keywords

Laplace transformrate of convergencegamma distributionruin probabilitydefective renewal equation

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20) Renewal theory (60K05)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Numerical accuracy of real inversion formulas for the Laplace transform
• Lundberg approximations for compound distributions with insurance applications
• Title not available (Why is that?)
• Approximating gamma distributions by normalized negative binomial distributions
• Uniform error bounds for a continuous approximation of non-negative random variables
• Error bounds in approximations of random sums using gamma-type operators
• Further use of Shiu's approach to the evaluation of ultimate ruin probabilities
• Title not available (Why is that?)
• Laplace transforms and the renewal equation

This page was built for publication: On the approximation of functions satisfying defective renewal equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q654129)