The expected discounted penalty function under a renewal risk model with stochastic income

DOI10.1016/J.AMC.2011.11.101MaRDI QIDQ434650zbMATH OpenOpenAlexFDO

Authors Yongxia Zhao, Chuancun Yin

Publication date 16 July 2012

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

Full work available at URL https://doi.org/10.1016/j.amc.2011.11.101

zbMATH Keywords

Laplace transformstochastic incomedefective renewal equationGerber-Shiu discounted penalty function

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Markov renewal processes, semi-Markov processes (60K15)

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Cites work

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• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin

Cited in

(22)

• On a class of renewal risk model with random income
• The expected discounted penalty function under a risk model with stochastic income
• Recursive least squares estimation methods for a class of nonlinear systems based on non-uniform sampling
• A novel nonlinear optimization method for fitting a noisy Gaussian activation function
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• On the renewal risk process with stochastic interest
• Identification of the nonlinear systems based on the kernel functions
• On the expected discounted penalty function for a Markov regime-switching insurance risk model with stochastic premium income
• Iterative parameter identification algorithms for the generalized time‐varying system with a measurable disturbance vector
• Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income
• Separable multi-innovation Newton iterative modeling algorithm for multi-frequency signals based on the sliding measurement window
• Decomposition‐based over‐parameterization forgetting factor stochastic gradient algorithm for Hammerstein‐Wiener nonlinear systems with non‐uniform sampling
• Filtering-based recursive least squares estimation approaches for multivariate equation-error systems by using the multiinnovation theory
• Ruin probabilities for a two-dimensional perturbed risk model with stochastic premiums
• Risk process with stochastic income and two-step premium rate
• On a risk model with stochastic premiums income and dependence between income and loss
• On a double barrier hybrid dividend strategy in a compound Poisson risk model with stochastic income
• Overall recursive least squares and overall stochastic gradient algorithms and their convergence for feedback nonlinear controlled autoregressive systems
• Hierarchical gradient- and least squares-based iterative algorithms for input nonlinear output-error systems using the key term separation
• Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model
• The expected discounted penalty function in a renewal risk model with stochastic income
• On the Gerber-Shiu discounted penalty function in a risk model with two types of delayed-claims and random income

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