On the Expected Discounted Penalty Function for the Classical Risk Model with Potentially Delayed Claims and Random Incomes
Joint Authors
Zhou, Jieming
Zhu, Huiming
Yang, Xiangqun
Huang, Ya
Source
Journal of Applied Mathematics
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-03-05
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
We focus on the expected discounted penalty function of a compound Poisson risk model with random incomes and potentially delayed claims.
It is assumed that each main claim will produce a byclaim with a certain probability and the occurrence of the byclaim may be delayed depending on associated main claim amount.
In addition, the premium number process is assumed as a Poisson process.
We derive the integral equation satisfied by the expected discounted penalty function.
Given that the premium size is exponentially distributed, the explicit expression for the Laplace transform of the expected discounted penalty function is derived.
Finally, for the exponential claim sizes, we present the explicit formula for the expected discounted penalty function.
American Psychological Association (APA)
Zhu, Huiming& Huang, Ya& Yang, Xiangqun& Zhou, Jieming. 2014. On the Expected Discounted Penalty Function for the Classical Risk Model with Potentially Delayed Claims and Random Incomes. Journal of Applied Mathematics،Vol. 2014, no. 2014, pp.1-12.
https://search.emarefa.net/detail/BIM-492978
Modern Language Association (MLA)
Zhu, Huiming…[et al.]. On the Expected Discounted Penalty Function for the Classical Risk Model with Potentially Delayed Claims and Random Incomes. Journal of Applied Mathematics No. 2014 (2014), pp.1-12.
https://search.emarefa.net/detail/BIM-492978
American Medical Association (AMA)
Zhu, Huiming& Huang, Ya& Yang, Xiangqun& Zhou, Jieming. On the Expected Discounted Penalty Function for the Classical Risk Model with Potentially Delayed Claims and Random Incomes. Journal of Applied Mathematics. 2014. Vol. 2014, no. 2014, pp.1-12.
https://search.emarefa.net/detail/BIM-492978
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-492978