Artikel
On a discrete interaction risk model with delayed claims
We study a discrete-time interaction risk model with delayed claims within the framework of the compound binomial model. Using the technique of generating functions, we derive both a recursive formula and a defective renewal equation for the expected discounted penalty function. As applications, the probabilities of ruin and the joint distributions of the surplus one period to ruin and the deficit at ruin are investigated. Numerical illustrations are also given.
- Language
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Englisch
- Bibliographic citation
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 8 ; Year: 2015 ; Issue: 4 ; Pages: 355-368 ; Basel: MDPI
- Classification
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Wirtschaft
- Subject
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discrete risk model
delayed claim
expected discounted penalty function
generating function
recursive equation
defective renewal equation
- Event
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Geistige Schöpfung
- (who)
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Liu, He
Bao, Zhenhua
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2015
- DOI
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doi:10.3390/jrfm8040355
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Liu, He
- Bao, Zhenhua
- MDPI
Time of origin
- 2015
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