A discrete-time ruin model with dependence between interclaim arrivals and claim sizes

被引：0
作者：
Zhenhua Bao
Ye Liu
机构：
[1] Liaoning Normal University,School of Mathematics
[2] Songjiang Jiuting No. 4 Primary School,undefined
来源：
Advances in Difference Equations | / 2016卷
关键词：
dependence; Gerber-Shiu discounted penalty function; defective renewal equation; Lundberg’s equation; 62P05; 91B30;
D O I：
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摘要：
We construct a discrete-time ruin model with general premium rate and dependent setting, where the time between two occurrences depends on the previous claim size. The generating function and defective renewal equation satisfied by the Gerber-Shiu expected discounted penalty function are derived by using the roots of a generalized Lundberg’s equation. Explicit expressions for the Gerber-Shiu function are obtained with discrete Km\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$K_{m}$\end{document}-family claim sizes and geometric thresholds. Numerical illustration is then examined.
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