The Gerber–Shiu discounted penalty function in a delayed renewal risk model with multi-layer dividend strategy
A class of delayed renewal risk processes with multi-layer dividend strategy is addressed here. Under the assumption that the premium rate is a step function depending on the current surplus level, a piecewise integro-differential equation for the Gerber–Shiu discounted penalty function in the delayed renewal risk model is derived, as an analogue of that in the ordinary renewal model, and the relationship between this function and the one in the ordinary renewal model is investigated. Subsequently, this relationship is detailed as regards both the stationary renewal risk model and the ruin probability. Finally, explicit expressions for some ruin-related quantities are included to illustrate the procedure, where the inter-claim times are generalized Erlang(2) distributed and the claims are exponentially distributed.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 82 (2012)
Issue (Month): 9 ()
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Lin, X.Sheldon & Pavlova, Kristina P., 2006. "The compound Poisson risk model with a threshold dividend strategy," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 57-80, February.
- Willmot, Gordon E., 2004. "A note on a class of delayed renewal risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 34(2), pages 251-257, April.
- Lin, X. Sheldon & Sendova, Kristina P., 2008. "The compound Poisson risk model with multiple thresholds," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 617-627, April.
- Yang, Hu & Zhang, Zhimin, 2008. "Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 984-991, June.
- Willmot, Gordon E. & Dickson, David C. M., 2003. "The Gerber-Shiu discounted penalty function in the stationary renewal risk model," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 403-411, July.
When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:82:y:2012:i:9:p:1648-1656. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.