| Title |
Gerber-Shiu diskontuota baudos funkcija žaloms pasiskirčiusioms pagal Pareto dėsnį |
| Translation of Title |
The gerber-shiu discounted penalty function for pareto distributed claims. |
| Authors |
Asanavičiūtė, Rasa |
| Full Text |
|
| Pages |
20 |
| Abstract [eng] |
The asymptotic of the Gerber-Shiu discounted penalty function in Poisson model with Pareto distributed claims is obtained. The asymptotic is obtained as initial surplus x tends to infinity. The main term of discounted penalty function has different expression in case when interest rate equal zero and when doesn't equal zero. The graphs of the Gerber-Shiu discounted penalty function in the case of Pareto claims are examined for various parameter choices. |
| Type |
Master thesis |
| Language |
Lithuanian |
| Publication date |
2014 |
