On a discrete-time risk model with general income and time-dependent claims

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:260

Article

Liu, He¹  Bao, Zhenhua^2,3 

[1] Inner Mongolia Univ Sci & Technol, Sch Math Phys & Biol Engn, Baotou 014010, Peoples R China

[2] Dalian Univ Technol, Sch Math Sci, Dalian 116024, Peoples R China

[3] Liaoning Normal Univ, Sch Math, Dalian 116029, Peoples R China

关键词: General premium rate;    Time-dependent claim;    Expected discounted penalty function;    Defective renewal equation;    Generating function;   

DOI  :  10.1016/j.cam.2013.10.031

来源: Elsevier

【 摘 要 】

We consider a discrete-time risk model with general premium rate and time-dependent claim sizes, in which the interclaim time has an impact on the subsequent claim size. By studying the roots of Lundberg's generalized equation, we first obtain an analytical expression for the generating function of the expected discounted penalty function. Then it is shown that the expected discounted penalty function satisfies a defective renewal equation. Moreover, a closed-form expression for the generating function of the time to ruin is obtained when the claim sizes have discrete K-m, distributions. Numerical examples are also given to illustrate the applicability of the results obtained. (C) 2013 Elsevier B.V. All rights reserved.

【 授权许可】

Free