On a discrete risk model with two-sided jumps
type: Item
instance of: scholarly article
title: On a discrete risk model with two-sided jumps
zbMATH Open document ID: 1188.91091
author: Hu Yang
author: Zhimin Zhang
published in: Journal of Computational and Applied Mathematics
publication date: 2010-04-27T00:00:00Z
review text: The paper focuses on a discrete renewal risk model with phase-type interarrival times and two-sided jumps, where the downward jumps are claim losses and the the upword ones are random gains. Under the hypotheses that the downward jumps have an arbitrary probability function, the authors investigate the Gerber-Shiu discounted penalty functions, obtaining a recursive formula; moreover, assuming that the upword jumps have a rationale p.g.f., the explicit expression of the discounted penalty function is provided.
reviewed by: Emilia Di Lorenzo
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5702044
zbMATH Keywords: discrete renewal risk model
zbMATH Keywords: discrete phase-type distribution
zbMATH Keywords: discounted penalty function
zbMATH Keywords: generating function
MaRDI profile type: Publication
full work available at URL: j.cam.2010.01.047
OpenAlex ID: W2042158933
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DOI: 10.1016/J.CAM.2010.01.047
description: scientific article; zbMATH DE number 5702044