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

DOI10.1016/J.AMC.2011.11.101zbMATH Open1242.60089OpenAlexW2107741273MaRDI QIDQ434650FDOQ434650

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

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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)

Cites Work

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• On the Time Value of Ruin
• On ruin for the Erlang \((n)\) risk process
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• The Gerber-Shiu function and the generalized Cramér-Lundberg model
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• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• On a risk model with stochastic premiums income and dependence between income and loss
• A Note on Negative Customers, GI/G/1 Workload, and Risk Processes
• On a class of renewal risk model with random income
• On a class of stochastic models with two-sided jumps
• The expected discounted penalty at ruin in the risk process with random income
• The Gerber-Shiu discounted penalty function in the delayed renewal risk process with random income

Cited In (22)

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

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