A class of delayed renewal risk processes with a threshold dividend strategy

被引:3
作者
Jiang, Wu-yuan [1 ,2 ]
Liu, Zai-ming [1 ]
机构
[1] Cent S Univ, Sch Math, Changsha 410075, Hunan, Peoples R China
[2] Hunan Inst Sci & Technol, Dept Mat, Yueyang 414006, Hunan, Peoples R China
来源
ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES | 2010年 / 26卷 / 02期
关键词
Delayed renewal risk process; Gerber-Shiu discounted penalty function; Threshold dividend strategy; Ruin probability; Ordinary renewal risk model; DISCOUNTED PENALTY-FUNCTION; ANDERSEN; SPARRE MODEL; RUIN;
D O I
10.1007/s10255-009-9078-1
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
This paper considers a class of delayed renewal risk processes with a threshold dividend strategy. The main result is an expression of the Gerber-Shiu expected discounted penalty function in the delayed renewal risk model in terms of the corresponding Gerber-Shiu function in the ordinary renewal model. Subsequently, this relationship is considered in more detail in both the stationary renewal risk model and the ruin probability.
引用
收藏
页码:345 / 352
页数:8
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