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On the expected discounted penalty function in a delayed-claims risk model

On the expected discounted penalty function in a delayed-claims risk model 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

On the expected discounted penalty function in a delayed-claims risk model

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References (10)

Publisher
Springer Journals
Copyright
Copyright © 2012 by Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences and Springer-Verlag Berlin Heidelberg
Subject
Mathematics; Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics
ISSN
0168-9673
eISSN
1618-3932
DOI
10.1007/s10255-012-0141-y
Publisher site
See Article on Publisher Site

Abstract

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.

Journal

Acta Mathematicae Applicatae SinicaSpringer Journals

Published: Apr 29, 2012

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