Paper Info
Title
On a discrete-time risk model with general income and time-dependent claims.
Abstract
We consider a discrete-time risk model with general premium rate and time-dependent claim sizes, in which the interclaim time has an impact on the subsequent claim size. By studying the roots of Lundberg's generalized equation, we first obtain an analytical expression for the generating function of the expected discounted penalty function. Then it is shown that the expected discounted penalty function satisfies a defective renewal equation. Moreover, a closed-form expression for the generating function of the time to ruin is obtained when the claim sizes have discrete K"m distributions. Numerical examples are also given to illustrate the applicability of the results obtained.
Year
DOI
Venue
2014
10.1016/j.cam.2013.10.031
J. Computational Applied Mathematics
Keywords
Field
DocType
defective renewal equation,analytical expression,general income,discrete-time risk model,time-dependent claim size,subsequent claim size,interclaim time,generating function,closed-form expression,claim size,penalty function,generalized equation
Generating function,Mathematical optimization,Mathematical economics,Mathematical analysis,Discrete time and continuous time,Risk model,Mathematics,Penalty method
Journal
Volume
ISSN
Citations 
260
0377-0427
0
PageRank 
References 
Authors
0.34
6
2
Name
Order
Citations
PageRank
P. Liu1508.37
Zhen-hua Bao2216.82