On the expected discounted penalty function for the compound Poisson risk model with delayed claims

DOI10.1016/j.cam.2010.10.039zbMath1350.91013OpenAlexW2136547856MaRDI QIDQ629500

Wei Zou, Jie Hua Xie

Publication date: 9 March 2011

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.2010.10.039

zbMATH Keywords

Laplace transformcompound Poisson risk modeldefective renewal equationexpected discounted penalty functiondelayed claim

Mathematics Subject Classification ID

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

Related Items (14)

On a risk model with random incomes and dependence between claim sizes and claim intervals ⋮ Asymptotics for a time-dependent by-claim model with dependent subexponential claims ⋮ Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest ⋮ Asymptotic finite-time ruin probabilities for a bidimensional delay-claim risk model with subexponential claims ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ On the expected discounted penalty function for a risk model with dependence under a multi-layer dividend strategy ⋮ On the Gerber-Shiu discounted penalty function in a risk model with delayed claims ⋮ A Risk Process with Delayed Claims and Constant Dividend Barrier ⋮ On a perturbed by diffusion compound Poisson risk model with delayed claims and multi-layer dividend strategy ⋮ On the Gerber-Shiu discounted penalty function in a risk model with two types of delayed-claims and random income ⋮ On a compound Poisson risk model with delayed claims and random incomes ⋮ On a Risk Model With Delayed Claims Under Stochastic Interest Rates ⋮ On the probability of ruin in the compound Poisson risk model with potentially delayed claims ⋮ On the probability of ruin in a continuous risk model with two types of delayed claims

Cites Work

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• The Gerber-Shiu discounted penalty functions for a risk model with two classes of claims
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• On the Time Value of Ruin

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