On a class of discrete time renewal risk models

DOI10.1080/03461230510009745zbMath1142.91043MaRDI QIDQ3440861

Shuanming Li

Publication date: 29 May 2007

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230510009745

zbMATH Keywords

generating function; martingale; recursive formula; generalized Lundberg equation; Sparre Andersen risk process; \(K_m\) family of distributions

Mathematics Subject Classification ID

60K15: Markov renewal processes, semi-Markov processes

Related Items

Discrete time ruin probability with Parisian delay, Reliability of a Discrete-Time System with Investment, On a discrete-time risk model with time-dependent claims and impulsive dividend payments, Roots, Symmetry, and Contour Integrals in Queuing-Type Systems, On a class of renewal risk model with random income, Discrete Lundberg-type bounds with actuarial applications, The finite-time ruin probability under the compound binomial risk model, An elementary approach to discrete models of dividend strategies, Expected present value of total dividends in a delayed claims risk model under stochastic interest rates, On a discrete risk model with delayed claims and a randomized dividend strategy, Gerber-Shiu function of a discrete risk model with and without a constant dividend barrier, On the discounted penalty function in the discrete time stationary renewal risk model, On a discrete risk model with two-sided jumps, On the discrete-time compound renewal risk model with dependence, A discrete-time ruin model with dependence between interclaim arrivals and claim sizes, A threshold-based risk process with a waiting period to pay dividends, Discounted aggregate claim costs until ruin in the discrete-time renewal risk model, On a discrete-time risk model with random income and a constant dividend barrier, An approximation of minimum initial capital of investment discrete time surplus process with Weibull distribution in a reinsurance company, Discrete risk model revisited, Ruin probabilities in the discrete time renewal risk model, On a discrete-time risk model with general income and time-dependent claims, On a Risk Model With Delayed Claims Under Stochastic Interest Rates, A generalized penalty function for a class of discrete renewal processes, New integrated view at partial-sums distributions, On the discounted penalty function in a discrete time renewal risk model with general interclaim times, On a generalization of the expected discounted penalty function in a discrete-time insurance risk model, Randomized dividends in the compound binomial model with a general premium rate

Cites Work

• The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function
• On ruin for the Erlang \((n)\) risk process
• Ruin probabilities for time-correlated claims in the compound binomial model.
• On the time to ruin for Erlang(2) risk processes.
• On the joint distributions of surplus immediately before ruin and the deficit at ruin for Erlang(2) risk processes.
• Ruin Probabilities in the Compound Markov Binomial Model
• Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003
• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003
• On the Time Value of Ruin