On the discounted penalty function in a Markov-dependent risk model
نویسندگان
چکیده
منابع مشابه
On the Discounted Penalty Function in a Markov-dependent Risk Model
We present a unified approach to the analysis of several popular models in collective risk theory. Based on the analysis of the discounted penalty function in a semi-Markovian risk model by means of Laplace-Stieltjes transforms, we rederive and extend some recent results in the field. In particular, the classical compound Poisson model, Sparre Andersen models with phase-type interclaim times an...
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The defective renewal equation satisfied by the Gerber-Shiu discounted penalty function in the renewal risk model with arbitrary interclaim times is analyzed. The ladder height distribution is shown to be a mixture of residual lifetime claim severity distributions, which results in an invariance property satisfied by a large class of claim amount models. In particular, when claims are exponenti...
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2005
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2005.06.007