A generalized penalty function for a class of discrete renewal processes

DOI10.1080/03461238.2010.490017zbMath1277.60146MaRDI QIDQ2866302

Jae-Kyung Woo

Publication date: 13 December 2013

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

Full work available at URL: https://doi.org/10.1080/03461238.2010.490017

zbMATH Keywords

Lagrange polynomials; discounted joint distribution; compound binomial process; discrete \(K_n\) distribution; discrete delayed renewal process; discrete Sparre Andersen renewal risk process

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60K15: Markov renewal processes, semi-Markov processes

60K10: Applications of renewal theory (reliability, demand theory, etc.)

Related Items

On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes, On a discrete-time risk model with time-dependent claims and impulsive dividend payments, Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times, 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, Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps, A unified analysis of claim costs up to ruin in a Markovian arrival risk model, On a discrete-time risk model with general income and time-dependent claims, The Gerber-Shiu discounted penalty function: a review from practical perspectives

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