The compound binomial risk model with delayed claims and random income
نویسندگان
چکیده
منابع مشابه
Expected Present Value of Total Dividends in the Compound Binomial Model with Delayed Claims and Random Income∗
In this paper, a compound binomial model with a constant dividend barrier and random income is considered. Two types of individual claims, main claims and byclaims, are defined, where every by-claim is induced by the main claim and may be delayed for one time period with a certain probability. The premium income is assumed to another binomial process to capture the uncertainty of the customer’s...
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Abstract: In this paper we consider the Gerber-Shiu penalty function in the compound binomial risk model with time-correlated claims. It is assumed that each main claim will induce a by-claim but the occurrence of the by-claim may be delayed with a certain probability. Formulas for the probability generating function of the penalty function are obtained, together with the expression for the pen...
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Abstract—In this paper, we consider a risk model involving two independent classes of insurance risks and random premium income. We assume that the premium income process is a Poisson Process, and the claim number processes are independent Poisson and generalized Erlang(n) processes, respectively. Both of the GerberShiu functions with zero initial surplus and the probability generating function...
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We study a discrete-time interaction risk model with delayed claims within the framework of the compound binomial model. Using the technique of generating functions, we derive both a recursive formula and a defective renewal equation for the expected discounted penalty function. As applications, the probabilities of ruin and the joint distributions of the surplus one period to ruin and the defi...
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In this paper, we extend the compound binomial model to the case where the premium income process, based on a binomial process, is no longer a linear function. First, a mathematically recursive formula is derived for non ruin probability, and then, we examine the expected discounted penalty function, satisfy a defect renewal equation. Third, the asymptotic estimate for the expected discounted p...
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ژورنال
عنوان ژورنال: Mathematical and Computer Modelling
سال: 2012
ISSN: 0895-7177
DOI: 10.1016/j.mcm.2011.10.009