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

DOI10.1080/03610926.2017.1406518OpenAlexW2773725246MaRDI QIDQ5075498

Man Li, Ya Huang, Juan Liu, Yingchun Deng, Jie-Ming 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

zbMATH Keywords

Markov chainGerber-Shiu discounted penalty functiondelayed claimsdiscrete risk modelstochastic incomesrandom 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)

Related Items (6)

On the dividends of the risk model with Markovian barrier ⋮ On a discrete interaction risk model with delayed claims and randomized dividends ⋮ On the dual risk model with Parisian implementation delays under a mixed dividend strategy ⋮ On a discrete Markov-modulated risk model with random premium income and delayed claims ⋮ Unnamed Item ⋮ Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income

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