A Note on Gerber–Shiu Functions with an Application
作者： Hanspeter Schmidli
DOI: 10.1007/978-3-319-06653-0_4
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摘要: We consider a classical compound Poisson risk model. The Laplace transform of the non-discounted penalty function (also called Gerber–Shiu function) is inverted, giving an explicit formula. By change measure, we can also generalise result to discounted functions. apply this formula obtain value capital injections. Finally, asymptotic behaviour injections derived as initial tends infinity. light and heavy tailed case, well some intermediate cases, are discussed.
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sci-hub.st 参考文章(15)
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