کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4632860 | 1340656 | 2009 | 16 صفحه PDF | دانلود رایگان |
Quantities of interest in ruin theory are investigated under the general framework of the expected discounted penalty function, assuming a risk model where both premiums and claims follow compound Poisson processes. Both a defective renewal equation and an integral equation satisfied by the expected discounted penalty function are established. Some implications that these equations have on particular quantities such as the discounted deficit and the probability of ultimate ruin are illustrated. Finally, the case when premiums have Erlang(n,β)(n,β) distribution and the distribution of the claims is arbitrary is investigated in more depth. Throughout the paper specific examples where claims and premiums have particular distributions are provided.
Journal: Applied Mathematics and Computation - Volume 215, Issue 5, 1 November 2009, Pages 1852–1867