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Article: On a discrete-time risk model with delayed claims and dividends

TitleOn a discrete-time risk model with delayed claims and dividends
Authors
Issue Date2013
PublisherIOS Press. The Journal's web site is located at http://www.iospress.nl/journal/risk-and-decision-analysis/
Citation
Risk and Decision Analysis, 2013, v. 4 n. 1, p. 3-16 How to Cite?
AbstractIn this paper, we study the discounted free Gerber–Shiu function for the compound binomial risk model with by-claims and randomized dividend policy. Specifically, explicit expression for the discounted free Gerber–Shiu function is obtained. This result allows us to derive formulae for some useful insurance quantities, including the ruin probability, the probability function of the deficit at ruin, the joint probability function of the surplus immediately before ruin and the deficit at ruin, and the probability function of the claim causing ruin.
Persistent Identifierhttp://hdl.handle.net/10722/182022
ISSN
2015 SCImago Journal Rankings: 0.112

 

DC FieldValueLanguage
dc.contributor.authorYuen, KCen_US
dc.contributor.authorLi, Jen_US
dc.contributor.authorWu, Ren_US
dc.date.accessioned2013-04-17T07:18:59Z-
dc.date.available2013-04-17T07:18:59Z-
dc.date.issued2013en_US
dc.identifier.citationRisk and Decision Analysis, 2013, v. 4 n. 1, p. 3-16en_US
dc.identifier.issn1569-7371-
dc.identifier.urihttp://hdl.handle.net/10722/182022-
dc.description.abstractIn this paper, we study the discounted free Gerber–Shiu function for the compound binomial risk model with by-claims and randomized dividend policy. Specifically, explicit expression for the discounted free Gerber–Shiu function is obtained. This result allows us to derive formulae for some useful insurance quantities, including the ruin probability, the probability function of the deficit at ruin, the joint probability function of the surplus immediately before ruin and the deficit at ruin, and the probability function of the claim causing ruin.-
dc.languageengen_US
dc.publisherIOS Press. The Journal's web site is located at http://www.iospress.nl/journal/risk-and-decision-analysis/en_US
dc.relation.ispartofRisk and Decision Analysisen_US
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.titleOn a discrete-time risk model with delayed claims and dividendsen_US
dc.typeArticleen_US
dc.identifier.emailYuen, KC: kcyuen@hku.hken_US
dc.identifier.authorityYuen, KC=rp00836en_US
dc.description.naturepostprint-
dc.identifier.doi10.3233/RDA-2012-0073-
dc.identifier.hkuros213770en_US
dc.identifier.volume4en_US
dc.identifier.issue1en_US
dc.identifier.spage3en_US
dc.identifier.epage16en_US

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