𝔖 Bobbio Scriptorium
✦   LIBER   ✦

On the discounted penalty function in the discrete time stationary renewal risk model

✍ Scribed by Zhen-hua Bao; Jing Wang

Book ID
104007021
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
416 KB
Volume
234
Category
Article
ISSN
0377-0427

No coin nor oath required. For personal study only.

✦ Synopsis

of the deficit Probability generating function of ruin time a b s t r a c t

In this paper we consider the discrete time stationary renewal risk model. We express the Gerber-Shiu discounted penalty function in the stationary renewal risk model in terms of the corresponding Gerber-Shiu function in the ordinary model. In particular, we obtain a defective renewal equation for the probability generating function of ruin time. The solution of the renewal equation is then given. The explicit formulas for the discounted survival distribution of the deficit at ruin are also derived.

πŸ“œ SIMILAR VOLUMES

On a generalization of the expected disc
On a generalization of the expected discounted penalty function in a discrete-time insurance risk model
✍ David Landriault πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 139 KB πŸ‘ 2 views

## 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__β€‰βˆˆβ€‰β„•^+^) received per period. We derive an explicit expression for this g