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

DOI10.1007/s10255-012-0141-yzbMath1355.60111OpenAlexW2048447464MaRDI QIDQ511156

Hui Meng, Guo-jing 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

operatorpenalty functionrenewal equationby-claimmain claimgeneralized Lundberg equation

Mathematics Subject Classification ID

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

Related Items

Asymptotics for a time-dependent by-claim model with dependent subexponential claims, Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest, Asymptotic finite-time ruin probabilities for a bidimensional delay-claim risk model with subexponential claims, Uniform asymptotics for a delay-claims risk model with constant force of interest and by-claims arriving according to a counting process

Cites Work

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• On ruin for the Erlang \((n)\) risk process
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• On the time to ruin for Erlang(2) risk processes.
• Joint distributions of some actuarial random vectors containing the time of ruin
• On a risk model with dependence between interclaim arrivals and claim sizes
• On Ultimate Ruin in a Delayed-Claims Risk Model
• On the Time Value of Ruin