Results 191 to 200 of about 1,052 (223)

A connection between the discounted and non-discounted expected penalty functions in the Sparre Andersen risk model

Statistics & Probability Letters, 2009
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The expected discounted penalty function for the perturbed compound Poisson risk process with constant interest

Insurance: Mathematics and Economics, 2008
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Wang, Guojing, Wu, Rong
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The Expected Discounted Penalty Function in the Erlang(2) Risk Process under Stochastic Interest Force

2009 International Conference on Information Management, Innovation Management and Industrial Engineering, 2009
In this paper, under the Erlang(2) risk process, we examine the expected discounted penalty function with stochastic interest force. We derive the expected discounted penalty function satisfied an integro-differential equation, and give its initial value, as well as its Laplace transform.
Yujuan Huang, Wenguang Yu
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On the Expected Discounted Penalty Function for a Risk Model with Thinning Process

Applied Mechanics and Materials, 2010
This paper studies the expected discounted penalty function for a risk model in which the arrival of insurance policies is a Poisson process and the process of claim occurring is -thinning process. Using backward differential argument, we derive the integro-differential equation satisfied by the expected discounted penalty function when the stochastic
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The Gerber–Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier

Insurance: Mathematics and Economics, 2007
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Li, WK, Yuen, KC, Wang, G
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On the expected discounted penalty function in a Markov-dependent risk model with constant dividend barrier

Acta Mathematica Scientia, 2010
Abstract This article considers a Markov-dependent risk model with a constant dividend barrier. A system of integro-differential equations with boundary conditions satisfied by the expected discounted penalty function, with given initial environment state, is derived and solved.
Liu Juan, Xu Jiancheng, Hu Yijun
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On a generalization of the expected discounted penalty function in a discrete‐time insurance risk model

Applied Stochastic Models in Business and Industry, 2008
AbstractIn this paper, we propose a generalization of the expected discounted penalty function and analyze the proposed analytic tool in the framework of the compound binomial model with a general premium rate c (c ∈ ℕ+) received per period. We derive an explicit expression for this generalized analytic tool in terms of the zeros of a matrix ...
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On the expected discounted penalty function for a perturbed risk process driven by a subordinator

Insurance: Mathematics and Economics, 2007
The author considers the following perturbed risk model: \(U(t)=u+ct-S(t)+W(t)\), where \(S\) is a subordinator with zero drift and Lévy measure \(\nu\) and \(W\) is a zero-drift Brownian motion with infinitesimal variance \(\sigma^2\). The parameter \(u\) is an initial surplus and \(c\) is a constant premium rate.
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Improvement to the Expected Discounted Penalty Function for a Classical Risk Model with a Threshold Dividend Strategy

Applied Mechanics and Materials, 2010
In this paper, we study the expected discounted penalty function for a classical risk model in which a threshold dividend strategy is used for a classical risk model and the discount interest force process is not a constant, but a stochastic process driven by Poisson process and Wiener process. In this model, we derive and solve an integro-differential
Wen Guang Yu, Zhi Liu
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Analysis of the expected discounted penalty function for a general jump–diffusion risk model and applications in finance

Insurance: Mathematics and Economics, 2010
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