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Article: On the compound binomial risk model with delayed claims and randomized dividends

TitleOn the compound binomial risk model with delayed claims and randomized dividends
Authors
Keywordscompound binomial risk model
delayed claims
Gerber–Shiu function
randomized dividends
Issue Date2018
PublisherMDPI AG. The Journal's web site is located at http://www.mdpi.com/journal/risks
Citation
Risks, 2018, v. 6 n. 6, p. 1-13 How to Cite?
AbstractThis paper extends the work of Yuen et al. (2013), who obtained explicit results for the discount-free Gerber–Shiu function for a compound binomial risk model in the presence of delayed claims and a randomized dividend strategy with a zero threshold level. Specifically, we establish a recursion method for computing the Gerber–Shiu expected discounted penalty function, which entails a number of important quantities in ruin theory, within the framework of the compound binomial aggregate claims with delayed by-claims and randomized dividends payable at a non-negative threshold level.
Persistent Identifierhttp://hdl.handle.net/10722/259510
ISSN
2023 Impact Factor: 2.0
2023 SCImago Journal Rankings: 0.403
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorWat, KP-
dc.contributor.authorYuen, KC-
dc.contributor.authorLi, WK-
dc.contributor.authorWu, X-
dc.date.accessioned2018-09-03T04:09:00Z-
dc.date.available2018-09-03T04:09:00Z-
dc.date.issued2018-
dc.identifier.citationRisks, 2018, v. 6 n. 6, p. 1-13-
dc.identifier.issn2227-9091-
dc.identifier.urihttp://hdl.handle.net/10722/259510-
dc.description.abstractThis paper extends the work of Yuen et al. (2013), who obtained explicit results for the discount-free Gerber–Shiu function for a compound binomial risk model in the presence of delayed claims and a randomized dividend strategy with a zero threshold level. Specifically, we establish a recursion method for computing the Gerber–Shiu expected discounted penalty function, which entails a number of important quantities in ruin theory, within the framework of the compound binomial aggregate claims with delayed by-claims and randomized dividends payable at a non-negative threshold level.-
dc.languageeng-
dc.publisherMDPI AG. The Journal's web site is located at http://www.mdpi.com/journal/risks-
dc.relation.ispartofRisks-
dc.rightsThis work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.-
dc.subjectcompound binomial risk model-
dc.subjectdelayed claims-
dc.subjectGerber–Shiu function-
dc.subjectrandomized dividends-
dc.titleOn the compound binomial risk model with delayed claims and randomized dividends-
dc.typeArticle-
dc.identifier.emailWat, KP: watkp@hku.hk-
dc.identifier.emailYuen, KC: kcyuen@hku.hk-
dc.identifier.emailLi, WK: hrntlwk@hkucc.hku.hk-
dc.identifier.authorityYuen, KC=rp00836-
dc.identifier.authorityLi, WK=rp00741-
dc.description.naturepublished_or_final_version-
dc.identifier.doi10.3390/risks6010006-
dc.identifier.scopuseid_2-s2.0-85056702289-
dc.identifier.hkuros289254-
dc.identifier.hkuros286754-
dc.identifier.volume6-
dc.identifier.issue6-
dc.identifier.spage1-
dc.identifier.epage13-
dc.identifier.isiWOS:000428564700005-
dc.publisher.placeSwitzerland-
dc.identifier.issnl2227-9091-

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