On a class of renewal risk model with random income

DOI10.1002/ASMB.752zbMath1224.91097OpenAlexW4233224594MaRDI QIDQ5391280

Hu Yang, Zhimin Zhang

Publication date: 6 April 2011

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.752

zbMATH Keywords

generating functiontime of ruindiscounted penalty function\(K_{m}\) distribution

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (12)

On a discrete interaction risk model with delayed claims and stochastic incomes under random discount rates ⋮ The compound binomial risk model with delayed claims and random income ⋮ The expected discounted penalty function under a renewal risk model with stochastic income ⋮ On a discrete Markov-modulated risk model with random premium income and delayed claims ⋮ Gerber–Shiu function for the discrete inhomogeneous claim case ⋮ On a risk model with stochastic premiums income and dependence between income and loss ⋮ On a discrete risk model with two-sided jumps ⋮ On a compound Poisson risk model with delayed claims and random incomes ⋮ Unnamed Item ⋮ An insurance risk process with a generalized income process: a solvency analysis ⋮ On a discrete-time risk model with random income and a constant dividend barrier ⋮ Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income

Cites Work

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• On the discounted penalty function in the renewal risk model with general interclaim times
• On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution
• The Gerber-Shiu discounted penalty function in the stationary renewal risk model.
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Risk process with random income
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• Distributions of the surplus before ruin, the deficit at ruin and the claim causing ruin in a class of discrete time risk models
• The Time Value of Ruin in a Sparre Andersen Model
• On the Time Value of Ruin

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