On the expected discounted penalty function for the classical risk model with potentially delayed claims and random incomes
type: Item
instance of: scholarly article
title: On the expected discounted penalty function for the classical risk model with potentially delayed claims and random incomes
zbMATH Open document ID: 1406.91211
DOI: 10.1155/2014/717269
author: Huiming Zhu
author: Ya Huang
author: Xiangqun Yang
author: Jieming Zhou
published in: Journal of Applied Mathematics
publication date: 2019-02-01T00:00:00Z
review text: Summary: We focus on the expected discounted penalty function of a compound Poisson risk model with random incomes and potentially delayed claims. It is assumed that each main claim will produce a byclaim with a certain probability and the occurrence of the byclaim may be delayed depending on associated main claim amount. In addition, the premium number process is assumed as a Poisson process. We derive the integral equation satisfied by the expected discounted penalty function. Given that the premium size is exponentially distributed, the explicit expression for the Laplace transform of the expected discounted penalty function is derived. Finally, for the exponential claim sizes, we present the explicit formula for the expected discounted penalty function.
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 7010722
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2014/717269
OpenAlex ID: W2057552194
Wikidata QID: Q59051990
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description: scientific article; zbMATH DE number 7010722