On a generalization of the expected discounted penalty function in a discrete-time insurance risk model

✍ Scribed by David Landriault

• Publisher: John Wiley and Sons
• Year: 2008
• Tongue: English
• Weight: 139 KB
• Volume: 24
• Category: Article
• ISSN: 1524-1904
• DOI: 10.1002/asmb.713

✦ Synopsis

Abstract

In this paper, we propose a generalization of the expected discounted penalty function and analyze the proposed analytic tool in the framework of the compound binomial model with a general premium rate c (c ∈ ℕ^+^) received per period. We derive an explicit expression for this generalized analytic tool in terms of the zeros of a matrix determinant. We then examine the original expected discounted penalty function in the compound binomial model with a general premium rate c, generalizing the results of Cheng et al. (Insur. Math. Econ. 2000; 26:239–250) in the framework of the compound binomial model with a unit premium rate. A numerical example is then considered to compare the original expected discounted penalty function with its generalized analytic tool. Copyright © 2008 John Wiley & Sons, Ltd.