On the Expected Discounted Penalty Function in a Delayed-claims Risk Model

被引：6

作者：

Meng, Hui ^{[1
]}

Wang, Guo-jing ^{[2
,3
]}

机构：

[1] Cent Univ Finance & Econ, China Inst Actuarial Sci, Beijing 100081, Peoples R China

[2] Soochow Univ, Dept Math, Suzhou 215006, Peoples R China

[3] Soochow Univ, Ctr Financial Engn, Suzhou 215006, Peoples R China

来源：

ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES | 2012年 / 28卷 / 02期

关键词：

main claim; by-claim; penalty function; generalized Lundberg's equation; operator; renewal equation; RUIN; TIME;

D O I：

10.1007/s10255-012-0141-y

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we consider a risk model in which each main claim may induce a delayed claim, called a by-claim. We assume that the time for the occurrence of a by-claim is random. We investigate the expected discounted penalty function, and derive the defective renewal equation satisfied by it. We obtain some explicit results when the main claim and the by-claim are both exponentially distributed, respectively. We also present some numerical illustrations.

引用

页码：215 / 224

页数：10

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