On the discounted penalty function in the discrete time stationary renewal risk model

DOI10.1016/J.CAM.2009.12.048zbMath1186.91115OpenAlexW1993134380MaRDI QIDQ964980

Jing Wang, Zhen-Hua Bao

Publication date: 21 April 2010

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

Full work available at URL: https://doi.org/10.1016/j.cam.2009.12.048

zbMATH Keywords

defective renewal equationdiscounted survival distribution of the deficitdiscrete time stationary renewal risk modelprobability generating function of ruin time

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

Cites Work

• The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function
• On the discounted penalty function in the renewal risk model with general interclaim times
• Discounted probabilities and ruin theory in the compound binomial model
• On the discounted penalty function in a discrete time renewal risk model with general interclaim times
• On a class of discrete time renewal risk models
• Distributions of the surplus before ruin, the deficit at ruin and the claim causing ruin in a class of discrete time risk models
• On the Time Value of Ruin

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