On the expected discounted penalty function for the continuous-time compound binomial risk model

DOI10.1016/J.SPL.2008.02.020zbMATH Open1169.62087OpenAlexW1970506353MaRDI QIDQ951197FDOQ951197

Guoxin Liu, Ying Wang

Publication date: 30 October 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.02.020

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Laplace transform (44A10)

Cites Work

• On the expected discounted penalty functions for two classes of risk processes
• On the Time Value of Ruin
• On the expected discounted penalty function at ruin of a surplus process with interest.
• The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• The Gerber-Shiu discounted penalty function in the stationary renewal risk model.
• Ruin probability in the continuous-time compound binomial model

Cited In (6)

• Computing the finite-time expected discounted penalty function for a family of Lévy risk processes
• On the discounted penalty function in a Markov-dependent risk model
• Title not available (Why is that?)
• Title not available (Why is that?)
• Discounted probabilities and ruin theory in the compound binomial model
• On the expected discounted penalty function for risk process with tax

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