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A Class of Delayed Renewal Risk Processes with a Threshold Dividend Strategy 被引量：1

A Class of Delayed Renewal Risk Processes with a Threshold Dividend Strategy
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摘要 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. 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.
作者 Wu-yuan Jiang Zai-ming Liu
机构地区 School of Mathematics Department of Mathematics
出处 《Acta Mathematicae Applicatae Sinica》 SCIE CSCD 2010年第2期345-352,共8页 应用数学学报（英文版）
基金 Supported by the Natural Science Foundation of Hunan (No. 08JJ3004)
关键词 Delayed renewal risk process Gerber-Shiu discounted penalty function Threshold dividend strategy Ruin probability Ordinary renewal risk model Delayed renewal risk process, Gerber-Shiu discounted penalty function, Threshold dividend strategy, Ruin probability, Ordinary renewal risk model
分类号 O211.67 [理学—概率论与数理统计] TN974 [电子电信—信号与信息处理]
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参考文献9

  • 1Bao, Z.H., Ye, Z.X. The Gerber-Shiu discounted penalty function in the delayed renewal risk process with random income. Applied Mathematics and Computation, 184:857-863 (2007).
  • 2Dickson, D.C.M., Hipp, C. On the of ruin for Erlang(2) risk processes. Insurance: Mathematics and Economics, 29:333-344 (2001).
  • 3Gao, H., Yin, C. The perturbed Sparre Andersen model with a threshold dividend strategy. Journal of Computational and Applied Mathematics, 220:394-408 (2008).
  • 4Li, S., Garrido, J. On ruin for Erlang(n) risk process. Insurance: Mathematics and Economics, 34:391-408 (2004).
  • 5Lin, X.S., Pavlova, K.P. The compound Poisson risk model with a threshold dividend strategy. Insurance: Mathematics and Economics, 38:57-80 (2006).
  • 6Lin, X.S., Willmot, G.E., Drekic, S. The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function. Insurance: Mathematics and Economics, 33:551-566 (2003).
  • 7Willmot, G.E. A note on a class of delayed renewal risk processes. Insurance: Mathematics and Economics, 34:251- 257 (2004).
  • 8Willmot, G.E., Dickson, D.C.M. The Gerber-Shiu discounted penalty function in the stationary renewal risk model. Insurance: Mathematics and Economics, 32:403-411 (2003).
  • 9Yang, H., Zhang, Z.M. Gerber-Shiu discounted penalty function in a Sparre Andersen model with multilayer dividend strategy. Insurance: Mathematics and Economics, 42:984-991 (2008).

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Acta Mathematicae Applicatae Sinica
2010年 第2期

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