A generalized penalty function for a class of discrete renewal processes

DOI10.1080/03461238.2010.490017zbMath1277.60146OpenAlexW2072692198MaRDI QIDQ2866302

Jae-Kyung Woo

Publication date: 13 December 2013

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2010.490017

zbMATH Keywords

Lagrange polynomialsdiscounted joint distributioncompound binomial processdiscrete \(K_n\) distributiondiscrete delayed renewal processdiscrete Sparre Andersen renewal risk process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov renewal processes, semi-Markov processes (60K15) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (10)

A discrete-time ruin model with dependence between interclaim arrivals and claim sizes ⋮ On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times ⋮ A threshold-based risk process with a waiting period to pay dividends ⋮ A unified analysis of claim costs up to ruin in a Markovian arrival risk model ⋮ On a discrete-time risk model with time-dependent claims and impulsive dividend payments ⋮ Discounted aggregate claim costs until ruin in the discrete-time renewal risk model ⋮ On a discrete-time risk model with general income and time-dependent claims ⋮ Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps

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