On the approximation of functions satisfying defective renewal equations

DOI10.1016/J.CAM.2011.07.014MaRDI QIDQ654129zbMATH OpenOpenAlexFDO

Authors C. Sangüesa

Publication date 21 December 2011

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

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

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)

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.

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Cites work

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