کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077005 | 1374112 | 2011 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
In a general Sparre Andersen risk model with surplus-dependent premium income, the generalization of Gerber-Shiu function proposed by Cheung et al. (2010a) is studied. A general expression for such Gerber-Shiu function is derived, and it is shown that its determination reduces to the evaluation of a transition function which is independent of the penalty function. Properties of and explicit expressions for such a transition function are derived when the surplus process is subject to (i) constant premium; (ii) a threshold dividend strategy; or (iii) credit interest. Extension of the approach is discussed for an absolute ruin model with debit interest.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 48, Issue 3, May 2011, Pages 384-397
Journal: Insurance: Mathematics and Economics - Volume 48, Issue 3, May 2011, Pages 384-397
نویسندگان
Eric C.K. Cheung,