On a discrete risk model with two-sided jumps

DOI10.1016/J.CAM.2010.01.047MaRDI QIDQ966097zbMATH OpenOpenAlexFDO

Authors Hu Yang, Zhimin Zhang

Publication date 27 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.2010.01.047

zbMATH Keywords

discounted penalty functiondiscrete phase-type distributiondiscrete renewal risk modelgenerating function

Mathematics Subject Classification ID

Review text

The paper focuses on a discrete renewal risk model with phase-type interarrival times and two-sided jumps, where the downward jumps are claim losses and the the upword ones are random gains. Under the hypotheses that the downward jumps have an arbitrary probability function, the authors investigate the Gerber-Shiu discounted penalty functions, obtaining a recursive formula; moreover, assuming that the upword jumps have a rationale p.g.f., the explicit expression of the discounted penalty function is provided.

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Cites work

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Cited in

(6)

• A \(2\times 2\) random switching model and its dual risk model
• Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps
• The perturbed compound Poisson risk model with two-sided jumps
• On a class of stochastic models with two-sided jumps
• On a discrete risk model with delayed claims and a randomized dividend strategy
• A generalized penalty function in the Sparre Andersen risk model with two-sided jumps

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