DOI QR코드

DOI QR Code

ASYMPTOTIC DISTRIBUTION OF THE DISCOUNTED PROPER DEFICIT IN THE DISCRETE TIME DELAYED RENEWAL MODEL

  • Bao, Zhen-Hua (School of Mathematics Liaoning Normal University) ;
  • Wang, Jing (School of Mathematics Liaoning Normal University)
  • Received : 2009.07.13
  • Accepted : 2010.02.28
  • Published : 2011.03.31

Abstract

In this paper we consider the discrete time delayed renewal risk model. We investigate what will happen when the distribution function of the discounted proper deficit is asymptotic in the initial surplus. In doing this we establish several lemmas regarding some related ruin quantities in the discrete time delayed renewal risk model, which are of significance on their own right.

Keywords

References

  1. Z. Bao and Z. Ye, The Gerber-Shiu discounted penalty function in the delayed renewal risk process with random income, Appl. Math. Comput. 184 (2007), no. 2, 857-863. https://doi.org/10.1016/j.amc.2006.06.076
  2. H. Cossette, D. Landriault, and E. Marceau, Ruin probabilities in the discrete time renewal risk model, Insurance Math. Econom. 38 (2006), no. 2, 309-323. https://doi.org/10.1016/j.insmatheco.2005.09.005
  3. S. Cheng, H. U. Gerber, and E. S. W. Shiu, Discounted probabilities and ruin theory in the compound binomial model, Insurance Math. Econom. 26 (2000), no. 2-3, 239-250. https://doi.org/10.1016/S0167-6687(99)00053-0
  4. H. U. Gerber and E. S. W. Shiu, On the time value of ruin, N. Am. Actuar. J. 2 (1998), no. 1, 48-78. https://doi.org/10.1080/10920277.1998.10595671
  5. S. Karlin and H. M. Taylor, A First Course in Stochastic Processes, Academic Press, New York, 1975.
  6. S. Li, On a class of discrete time renewal risk models, Scand. Actuar. J. 2005 (2005), no. 4, 241-260. https://doi.org/10.1080/03461230510009745
  7. S. Li, Distributions of the surplus before ruin, the deficit at ruin and the claim causing ruin in a class of discrete time risk models, Scand. Actuar. J. 2005 (2005), no. 4, 271-284. https://doi.org/10.1080/03461230510009808
  8. S. Li and J. Garrido, On the time value of ruin in the discrete time risk model, Working paper 02-18, Business Economics, University Carlos III of Madrid, 2002.
  9. K. P. Pavlova and G. E. Willmot, The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function, Insurance Math. Econom. 35 (2004), no. 2, 267-277. https://doi.org/10.1016/j.insmatheco.2004.04.006
  10. G. E. Willmot, A note on a class of delayed renewal risk processes, Insurance Math. Econom. 34 (2004), no. 2, 251-257. https://doi.org/10.1016/j.insmatheco.2003.12.005
  11. G. E. Willmot and X. Lin, Lundberg Approximations for Compound Distributions with Insurance Applications, Lecture Notes in Statistics, 156. Springer-Verlag, New York, 2001
  12. X. Wu and S. Li, On the discounted penalty function in a discrete time renewal risk model with general interclaim times, Scand. Actuar. J. 2009 (2009), no. 4, 281-294. https://doi.org/10.1080/03461230802420595