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Article: Randomized observation periods for the compound poisson risk model: the discounted penalty function

TitleRandomized observation periods for the compound poisson risk model: the discounted penalty function
Authors
KeywordsCompound Poisson risk model
Gerber–Shiu function
Erlangization
Defective renewal equation
Discounted density
Issue Date2013
PublisherTaylor & Francis A S. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/03461238.asp
Citation
Scandinavian Actuarial Journal, 2013, v. 2013 n. 6, p. 424-452 How to Cite?
AbstractIn the framework of collective risk theory, we consider a compound Poisson risk model for the surplus process where the process (and hence ruin) can only be observed at random observation times. For Erlang(n) distributed inter-observation times, explicit expressions for the discounted penalty function at ruin are derived. The resulting model contains both the usual continuous-time and the discrete-time risk model as limiting cases, and can be used as an effective approximation scheme for the latter. Numerical examples are given that illustrate the effect of random observation times on various ruin-related quantities.
Persistent Identifierhttp://hdl.handle.net/10722/144575
ISSN
2015 Impact Factor: 1.596
2015 SCImago Journal Rankings: 0.956
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorAlbrecher, Hen_US
dc.contributor.authorCheung, ECKen_US
dc.contributor.authorThonhauser, Sen_US
dc.date.accessioned2012-02-03T06:14:47Z-
dc.date.available2012-02-03T06:14:47Z-
dc.date.issued2013en_US
dc.identifier.citationScandinavian Actuarial Journal, 2013, v. 2013 n. 6, p. 424-452en_US
dc.identifier.issn0346-1238en_US
dc.identifier.urihttp://hdl.handle.net/10722/144575-
dc.description.abstractIn the framework of collective risk theory, we consider a compound Poisson risk model for the surplus process where the process (and hence ruin) can only be observed at random observation times. For Erlang(n) distributed inter-observation times, explicit expressions for the discounted penalty function at ruin are derived. The resulting model contains both the usual continuous-time and the discrete-time risk model as limiting cases, and can be used as an effective approximation scheme for the latter. Numerical examples are given that illustrate the effect of random observation times on various ruin-related quantities.en_US
dc.languageengen_US
dc.publisherTaylor & Francis A S. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/03461238.aspen_US
dc.relation.ispartofScandinavian Actuarial Journalen_US
dc.rightsThis is an Accepted Manuscript of an article published by Taylor & Francis in Scandinavian Actuarial Journal on 23 Dec 2011, available online: http://www.tandfonline.com/doi/abs/10.1080/03461238.2011.624686-
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectCompound Poisson risk model-
dc.subjectGerber–Shiu function-
dc.subjectErlangization-
dc.subjectDefective renewal equation-
dc.subjectDiscounted density-
dc.titleRandomized observation periods for the compound poisson risk model: the discounted penalty functionen_US
dc.typeArticleen_US
dc.identifier.emailAlbrecher, H: Hansjoerg.Albrecher@unil.chen_US
dc.identifier.emailCheung, ECK: eckc@hku.hk-
dc.identifier.authorityCheung, ECK=rp01423en_US
dc.description.naturepostprint-
dc.identifier.doi10.1080/03461238.2011.624686en_US
dc.identifier.hkuros198226en_US
dc.identifier.eissn1651-2030-
dc.identifier.isiWOS:000324979500002-
dc.publisher.placeNorway-

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