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Article: A generalized penalty function for a class of discrete renewal processes

TitleA generalized penalty function for a class of discrete renewal processes
Authors
KeywordsCompound binomial process
Discounted joint distribution
Discrete delayed renewal process
Discrete K n distribution
Discrete Sparre Andersen renewal risk process
Lagrange polynomials
Issue Date2012
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, 2012 n. 2, p. 130-152 How to Cite?
AbstractAnalysis of a generalized Gerber-Shiu function is considered in a discrete-time (ordinary) Sparre Andersen renewal risk process with time-dependent claim sizes. The results are then applied to obtain ruin-related quantities under some renewal risk processes assuming specific interclaim distributions such as a discrete K&inf>n&/inf> distribution and a truncated geometric distribution (i.e. compound binomial process). Furthermore, the discrete delayed renewal risk process is considered and results related to the ordinary process are derived as well. © 2012 Taylor and Francis Group, LLC.
Persistent Identifierhttp://hdl.handle.net/10722/157717
ISSN
2015 Impact Factor: 1.596
2015 SCImago Journal Rankings: 0.956
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorWoo, JKen_HK
dc.date.accessioned2012-08-08T08:54:24Z-
dc.date.available2012-08-08T08:54:24Z-
dc.date.issued2012en_HK
dc.identifier.citationScandinavian Actuarial Journal, 2012 n. 2, p. 130-152en_HK
dc.identifier.issn0346-1238en_HK
dc.identifier.urihttp://hdl.handle.net/10722/157717-
dc.description.abstractAnalysis of a generalized Gerber-Shiu function is considered in a discrete-time (ordinary) Sparre Andersen renewal risk process with time-dependent claim sizes. The results are then applied to obtain ruin-related quantities under some renewal risk processes assuming specific interclaim distributions such as a discrete K&inf>n&/inf> distribution and a truncated geometric distribution (i.e. compound binomial process). Furthermore, the discrete delayed renewal risk process is considered and results related to the ordinary process are derived as well. © 2012 Taylor and Francis Group, LLC.en_HK
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_HK
dc.relation.ispartofScandinavian Actuarial Journalen_HK
dc.subjectCompound binomial processen_HK
dc.subjectDiscounted joint distributionen_HK
dc.subjectDiscrete delayed renewal processen_HK
dc.subjectDiscrete K n distributionen_HK
dc.subjectDiscrete Sparre Andersen renewal risk processen_HK
dc.subjectLagrange polynomialsen_HK
dc.titleA generalized penalty function for a class of discrete renewal processesen_HK
dc.typeArticleen_HK
dc.identifier.emailWoo, JK: jkwoo@hku.hken_HK
dc.identifier.authorityWoo, JK=rp01623en_HK
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1080/03461238.2010.490017en_HK
dc.identifier.scopuseid_2-s2.0-84861884695en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-84861884695&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.issue2en_HK
dc.identifier.spage130en_HK
dc.identifier.epage152en_HK
dc.identifier.eissn1651-2030-
dc.identifier.isiWOS:000304476700003-
dc.publisher.placeNorwayen_HK
dc.identifier.scopusauthoridWoo, JK=26642855300en_HK

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