On the expected discounted penalty function in a delayed-claims risk model

DOI10.1007/S10255-012-0141-YMaRDI QIDQ511156zbMATH OpenOpenAlexFDO

Authors Hui Meng, Guojing Wang

Publication date 14 February 2017

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10255-012-0141-y

zbMATH Keywords

operator penalty function by-claim renewal equation main claim generalized Lundberg equation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Brownian motion (60J65)

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Cites work

A ruin model with dependence between claim sizes and claim intervals
Joint distributions of some actuarial random vectors containing the time of ruin
On Ultimate Ruin in a Delayed-Claims Risk Model
On a risk model with dependence between interclaim arrivals and claim sizes
On ruin for the Erlang \((n)\) risk process
On the Time Value of Ruin
On the time to ruin for Erlang(2) risk processes.
Ruin probabilities for time-correlated claims in the compound binomial model.
The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
The surpluses immediately before and at ruin, and the amount of the claim causing ruin

Cited in

(15)

The discounted penalty function in a class of delayed renewal risk models
On the expected discounted penalty function for the classical risk model with potentially delayed claims and random incomes
Asymptotics for ruin probabilities of a dependent delayed-claim risk model with general investment returns and diffusion
Estimation of the expected discounted penalty function for Lévy insurance risks
Uniform asymptotics for a delay-claims risk model with constant force of interest and by-claims arriving according to a counting process
On a generalization of the expected discounted penalty function in a discrete-time insurance risk model
Asymptotics for a time-dependent by-claim model with dependent subexponential claims
On Ultimate Ruin in a Delayed-Claims Risk Model
Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest
On the Gerber-Shiu function of a MAP risk model with possible delayed phase-type by-claims
Asymptotic finite-time ruin probabilities for a bidimensional delay-claim risk model with subexponential claims
On the expected discounted penalty function for the compound Poisson risk model with delayed claims
The expected discounted penalty function for a kind of time-correlated risk model based on the renewal argument in consideration of the by-claim
On the Gerber-Shiu discounted penalty function in a risk model with delayed claims
On the expected discounted penalty function in the discrete time delayed renewal process with special claims

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