Geiger, Daniel J.; Adekpedjou, Akim - In: Statistics & Risk Modeling 36 (2019) 1-4, pp. 57-75
Abstract We approximate Gerber–Shiu functions with heavy-tailed claims in a recently introduced risk model having both interclaim times and premiums depending on the claim sizes. We apply a technique known as “corrected phase-type approximations”. This results in adding a correction term...