File Download
Links for fulltext
(May Require Subscription)
- Publisher Website: 10.3233/RDA-2012-0073
- Scopus: eid_2-s2.0-84877847823
- Find via
Supplementary
-
Citations:
- Scopus: 0
- Appears in Collections:
Article: On a discrete-time risk model with delayed claims and dividends
Title | On a discrete-time risk model with delayed claims and dividends |
---|---|
Authors | |
Keywords | By-claim claim causing ruin compound binomial risk model deficit at ruin Gerber-Shiu function main claim randomized dividend ruin probability surplus immediately before ruin |
Issue Date | 2013 |
Publisher | IOS 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? |
Abstract | In 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 Identifier | http://hdl.handle.net/10722/182022 |
ISSN | 2020 SCImago Journal Rankings: 0.109 |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Yuen, KC | en_US |
dc.contributor.author | Li, J | en_US |
dc.contributor.author | Wu, R | en_US |
dc.date.accessioned | 2013-04-17T07:18:59Z | - |
dc.date.available | 2013-04-17T07:18:59Z | - |
dc.date.issued | 2013 | en_US |
dc.identifier.citation | Risk and Decision Analysis, 2013, v. 4 n. 1, p. 3-16 | en_US |
dc.identifier.issn | 1569-7371 | - |
dc.identifier.uri | http://hdl.handle.net/10722/182022 | - |
dc.description.abstract | In 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.language | eng | en_US |
dc.publisher | IOS Press. The Journal's web site is located at http://www.iospress.nl/journal/risk-and-decision-analysis/ | en_US |
dc.relation.ispartof | Risk and Decision Analysis | en_US |
dc.subject | By-claim | - |
dc.subject | claim causing ruin | - |
dc.subject | compound binomial risk model | - |
dc.subject | deficit at ruin | - |
dc.subject | Gerber-Shiu function | - |
dc.subject | main claim | - |
dc.subject | randomized dividend | - |
dc.subject | ruin probability | - |
dc.subject | surplus immediately before ruin | - |
dc.title | On a discrete-time risk model with delayed claims and dividends | en_US |
dc.type | Article | en_US |
dc.identifier.email | Yuen, KC: kcyuen@hku.hk | en_US |
dc.identifier.authority | Yuen, KC=rp00836 | en_US |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.3233/RDA-2012-0073 | - |
dc.identifier.scopus | eid_2-s2.0-84877847823 | - |
dc.identifier.hkuros | 213770 | en_US |
dc.identifier.volume | 4 | en_US |
dc.identifier.issue | 1 | en_US |
dc.identifier.spage | 3 | en_US |
dc.identifier.epage | 16 | en_US |
dc.identifier.issnl | 1569-7371 | - |