On a discrete interaction risk model with delayed claims and stochastic incomes under random discount rates

DOI10.1080/03610926.2017.1406518OpenAlexW2773725246MaRDI QIDQ5075498FDOQ5075498

Man Li, Ya Huang, Juan Liu, Yingchun Deng, Jieming Zhou

Publication date: 16 May 2022

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1406518

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zbMATH Keywords

Markov chain Gerber-Shiu discounted penalty function delayed claims discrete risk model stochastic incomes random discount rates

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Risk models (general) (91B05)

Cites Work

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Expected discounted dividends in a discrete semi-Markov risk model
Ruin problems in a discrete Markov risk model
A note on a discrete time MAP risk model
Ruin Probabilities in the Compound Markov Binomial Model
Discounted probabilities and ruin theory in the compound binomial model
The queue GI/M/s with customers of different types or the queue GI/H_m/s
Ruin probabilities in the compound binomial model
On a generalization of the expected discounted penalty function in a discrete-time insurance risk model
The compound binomial model with randomized decisions on paying dividends
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A Note on Negative Customers, GI/G/1 Workload, and Risk Processes
On a class of renewal risk model with random income
The Gerber-Shiu discounted penalty function in the delayed renewal risk process with random income
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Expected present value of total dividends in a delayed claims risk model under stochastic interest rates
The probability of ruin in a discrete semi-Markov risk model
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Title not available (Why is that?)
The compound binomial risk model with delayed claims and random income
On a Risk Model With Delayed Claims Under Stochastic Interest Rates
On the expected discounted penalty function for the classical risk model with potentially delayed claims and random incomes
The Gerber-Shiu expected penalty function for the risk model with dependence and a constant dividend barrier
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On the expected discounted penalty function for a Markov regime-switching insurance risk model with stochastic premium income
Title not available (Why is that?)
On the expected discounted penalty function for a risk model with dependence under a multi-layer dividend strategy
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Cited In (9)

On a discrete Markov-modulated risk model with random premium income and delayed claims
On a compound Poisson risk model with delayed claims and random incomes
On the dividends of the risk model with Markovian barrier
On the dual risk model with Parisian implementation delays under a mixed dividend strategy
On a discrete interaction risk model with delayed claims and randomized dividends
Title not available (Why is that?)
带延迟索赔和随机收入的离散风险模型的Gerber-Shiu分析（英）
Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income
On the expected discounted penalty function for the classical risk model with potentially delayed claims and random incomes

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