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Mathematical investigation of the Gerber-Shiu function in the case of dependent inter-claim time and claim size

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  • Orbán Mihálykó, Éva
  • Mihálykó, Csaba

Abstract

In this paper we investigate the well-known Gerber-Shiu expected discounted penalty function in the case of dependence between the inter-claim times and the claim amounts. We set up an integral equation for it and we prove the existence and uniqueness of its solution in the set of bounded functions. We show that if [delta]>0, the limit property of the solution is not a regularity condition, but the characteristic of the solution even in the case when the net profit condition is not fulfilled. It is the consequence of the choice of the penalty function for a given density function. We present an example when the Gerber-Shiu function is not bounded, consequently, it does not tend to zero. Using an operator technique we also prove exponential boundedness.

Suggested Citation

  • Orbán Mihálykó, Éva & Mihálykó, Csaba, 2011. "Mathematical investigation of the Gerber-Shiu function in the case of dependent inter-claim time and claim size," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 378-383, May.
    • Handle: RePEc:eee:insuma:v:48:y:2011:i:3:p:378-383
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    References listed on IDEAS

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    1. Hans Gerber & Elias Shiu, 1998. "On the Time Value of Ruin," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(1), pages 48-72.
    2. Ambagaspitiya, Rohana S., 2009. "Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 464-472, June.
    3. Hans Gerber & Elias Shiu, 2005. "The Time Value of Ruin in a Sparre Andersen Model," North American Actuarial Journal, Taylor & Francis Journals, vol. 9(2), pages 49-69.
    4. Landriault, David & Willmot, Gordon, 2008. "On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 600-608, April.
    5. Gerber, Hans U. & Shiu, Elias S. W., 1997. "The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 129-137, November.
    6. Cheung, Eric C.K. & Landriault, David & Willmot, Gordon E. & Woo, Jae-Kyung, 2010. "Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 117-126, February.
    7. Tang, Qihe & Wei, Li, 2010. "Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 19-31, February.
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