Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps

DOI10.1016/j.amc.2018.03.037zbMath1427.91077OpenAlexW2794949727MaRDI QIDQ2333191

Haibo Liu, Eric C. K. Cheung, Gordon E. Willmot

Publication date: 12 November 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2018.03.037

zbMATH Keywords

renewal risk modeljoint momentstwo-sided jumpsnumber of downward/upward jumpstotal discounted claims/gains

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Risk models (general) (91B05) Actuarial mathematics (91G05)

Related Items (8)

The Erlang(n) risk model with two-sided jumps and a constant dividend barrier ⋮ The expected discounted penalty function in the generalized Erlang\((n)\) risk model with two-sided jumps and a constant dividend barrier ⋮ On the dual risk model with diffusion under a mixed dividend strategy ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion ⋮ Ruin-related problems in the dual risk model under two different randomized observations ⋮ Analysis of an aggregate loss model in a Markov renewal regime ⋮ An insurance risk process with a generalized income process: a solvency analysis

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