Fang Shizu, Zhang Chunmei, Zhao Peichen, Sun Xin. The Gerber-Shiu Discounted Penalty Function in the Compound Markov Binomial Model[J]. Chinese Journal of Applied Probability and Statistics, 2011, 27(5): 460-472.
Citation:
Fang Shizu, Zhang Chunmei, Zhao Peichen, Sun Xin. The Gerber-Shiu Discounted Penalty Function in the Compound Markov Binomial Model[J]. Chinese Journal of Applied Probability and Statistics, 2011, 27(5): 460-472.
Fang Shizu, Zhang Chunmei, Zhao Peichen, Sun Xin. The Gerber-Shiu Discounted Penalty Function in the Compound Markov Binomial Model[J]. Chinese Journal of Applied Probability and Statistics, 2011, 27(5): 460-472.
Citation:
Fang Shizu, Zhang Chunmei, Zhao Peichen, Sun Xin. The Gerber-Shiu Discounted Penalty Function in the Compound Markov Binomial Model[J]. Chinese Journal of Applied Probability and Statistics, 2011, 27(5): 460-472.
The Gerber-Shiu Discounted Penalty Function in the Compound Markov Binomial Model
In this paper, we consider the compound Markov binomial model proposed by Cossette et al.\,(2003). The defective renewal equations for the conditional and unconditional Gerber-Shiu discounted penalty function are obtained. The asymptotic expressions for the Gerber-Shiu discounted penalty function are then provided.
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