On the approximation of functions satisfying defective renewal equations

Abstract

Functions satisfying a defective renewal equation arise commonly in applied probability models. Usually these functions do not admit an explicit expression. In this work, we consider their approximation by means of a gamma-type operator given in terms of the Laplace transform of the initial function. We investigate which conditions on the initial parameters of the renewal equation give the optimal order of uniform convergence of the approximation. We apply our results to ruin probabilities in the classical risk model, paying special attention to mixtures of gamma claim amounts.