On a generalization of the expected discounted penalty function in a discrete-time insurance risk model

DOI10.1002/asmb.713zbMath1199.91084OpenAlexW4255125159MaRDI QIDQ3552648

David Ladriault

Publication date: 22 April 2010

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.713

zbMATH Keywords

generating functionpolynomial matrixrisk theorycompound binomial modelexpected discounted penalty functiongeneral premium rate

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Related Items (12)

\(\mathrm{G}/\mathrm{M}/1\) type structure of a risk model with general claim sizes in a Markovian environment ⋮ A discrete-time ruin model with dependence between interclaim arrivals and claim sizes ⋮ On a discrete interaction risk model with delayed claims and stochastic incomes under random discount rates ⋮ The finite-time ruin probability under the compound binomial risk model ⋮ Discrete time ruin probability with Parisian delay ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Expected present value of total dividends in a delayed claims risk model under stochastic interest rates ⋮ On a discrete-time risk model with time-dependent claims and impulsive dividend payments ⋮ On a discrete risk model with two-sided jumps ⋮ On a Risk Model With Delayed Claims Under Stochastic Interest Rates ⋮ On a discrete-time risk model with general income and time-dependent claims ⋮ Randomized observation periods for the compound Poisson risk model: the discounted penalty function

Cites Work

• Ruin probabilities in the compound binomial model
• The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function
• On the discounted penalty function in a Markov-dependent risk model
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• On a class of discrete time renewal risk models
• The queue GI/M/s with customers of different types or the queue GI/H_m/s
• Mortgages and Markov Chains: A Simplified Evaluation Model
• The Markov Chain Market
• A time‐continuous markov chain interest model with applications to insurance
• Ruin Probabilities in the Compound Markov Binomial Model
• On a general class of renewal risk process: analysis of the Gerber-Shiu function
• On the Time Value of Ruin
• On the modification of Rouche's theorem for the queueing theory problems

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