On the Gerber–Shiu function with random discount rate

Houchun Wang and Nengxiang Ling

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 1, 210-220

Abstract: In this paper, we study the Gerber–Shiu (G-S) function for the classical risk model, in which the discount rate is generalized from a constant to a random variable. The discounted interest force accumulated process is modeled by a Poisson process and a Gaussian process for the G-S function. In terms of the standard techniques in ruin theory, we derive the integro-differential equation and the defective renewal equation satisfied by the G-S function. Then, the asymptotic formula for the G-S function is obtained using the renewal theory.

Date: 2017
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Citations: View citations in EconPapers (2)

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DOI: 10.1080/03610926.2014.988265

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