A Class of Delayed Renewal Risk Processes with a Threshold Dividend Strategy

This paper considers a class of delayed renewal risk processes with a threshold dividend strategy. The main result is an expression of the Gerber-Shiu expected discounted penalty function in the delayed renewal risk model in terms of the corresponding Cerber-Shiu function in the ordinary renewal mod...

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Bibliographic Details
Published inActa Mathematicae Applicatae Sinica Vol. 26; no. 2; pp. 345 - 352
Main Authors Jiang, Wu-yuan, Liu, Zai-ming
Format Journal Article
LanguageEnglish
Published Heildeberg Institute of Applied Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society 01.04.2010
Subjects
Applications of Mathematics
Math Applications in Computer Science
Mathematical and Computational Physics
Mathematics
Mathematics and Statistics
Theoretical
函数计算
更新风险模型
破产概率
重建模型
风险过程
Gerber-Shiu discounted penalty function
Ruin probability
Delayed renewal risk process
Ordinary renewal risk model
62P05
Threshold dividend strategy
91B30
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Summary:This paper considers a class of delayed renewal risk processes with a threshold dividend strategy. The main result is an expression of the Gerber-Shiu expected discounted penalty function in the delayed renewal risk model in terms of the corresponding Cerber-Shiu function in the ordinary renewal model. Subsequently, this relationship is considered in more detail in both the stationary renewal risk model and the ruin probability.
Bibliography:TN974
11-2041/O1
O211.67
Delayed renewal risk process, Gerber-Shiu discounted penalty function, Threshold dividend strategy, Ruin probability, Ordinary renewal risk model
ISSN:0168-9673
1618-3932
DOI:10.1007/s10255-009-9078-1