On the discounted penalty function in a discrete time renewal risk model with general interclaim times

DOI10.1080/03461230802420595zbMath1224.91094OpenAlexW2024839702MaRDI QIDQ3077742

Shuanming Li, Xueyuan Wu

Publication date: 22 February 2011

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

Full work available at URL: https://doi.org/10.1080/03461230802420595

zbMATH Keywords

generating functionrecursive formulaGerber-Shiu functionSparre Andersen risk processmixture of geometric distributions

Mathematics Subject Classification ID

Related Items (7)

Parisian ruin for the dual risk process in discrete-time ⋮ Discrete time ruin probability with Parisian delay ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ A threshold-based risk process with a waiting period to pay dividends ⋮ On the discounted penalty function in the discrete time stationary renewal risk model ⋮ On a discrete-time risk model with general income and time-dependent claims ⋮ A unifying approach to the analysis of business with random gains

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
• On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution
• Non-Poissonian claims' arrivals and calculation of the probability of ruin
• Discounted probabilities and ruin theory in the compound binomial model
• 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 Ruin Probability Under a Class of Risk Processes
• On a general class of renewal risk process: analysis of the Gerber-Shiu function

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