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

DOI10.1007/S10255-012-0141-YzbMATH Open1355.60111OpenAlexW2048447464MaRDI QIDQ511156FDOQ511156

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

Recommendations

• On the expected discounted penalty function for the compound Poisson risk model with delayed claims
• On the Gerber-Shiu discounted penalty function in a risk model with delayed claims
• On the expected discounted penalty function for the classical risk model with potentially delayed claims and random incomes
• On the Gerber-Shiu discounted penalty function in a risk model with two types of delayed-claims and random income
• On a risk model with delayed claims under stochastic interest rates

zbMATH Keywords

operatorpenalty functionby-claimrenewal equationmain claimgeneralized Lundberg equation

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (12)

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

This page was built for publication: On the expected discounted penalty function in a delayed-claims risk model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q511156)