The expected discounted penalty at ruin in the risk process with random income

DOI10.1016/j.amc.2005.11.106zbMath1158.60374MaRDI QIDQ849761

Zhen-Hua Bao

Publication date: 31 October 2006

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2005.11.106

zbMATH Keywords

ruin probability; defective renewal equation; expected discounted penalty function; compound geometric

Mathematics Subject Classification ID

60G40: Stopping times; optimal stopping problems; gambling theory

60K20: Applications of Markov renewal processes (reliability, queueing networks, etc.)

Related Items

On a class of renewal risk model with random income, On a compound Poisson risk model with delayed claims and random incomes, A ruin model with random income and dependence between claim sizes and claim intervals, On a class of stochastic models with two-sided jumps, Risk process with stochastic income and two-step premium rate, The Gerber-Shiu discounted penalty function in the delayed renewal risk process with random income, Ruin probabilities in the risk process with random income, On a risk model with stochastic premiums income and dependence between income and loss, The expected discounted penalty function under a risk model with stochastic income, A Direct Approach to the Discounted Penalty Function

Cites Work

• Unnamed Item
• Unnamed Item
• Calculation of the probability of eventual ruin by Beekman's convolution series
• The surpluses immediately before and at ruin, and the amount of the claim causing ruin
• Further use of Shiu's approach to the evaluation of ultimate ruin probabilities
• Aspects of risk theory
• The moments of ruin time in the classical risk model with discrete claim size distribution
• On the expected discounted penalty function at ruin of a surplus process with interest.
• Risk process with random income
• Analysis of a defective renewal equation arising in ruin theory
• On the Time Value of Ruin