On a Discrete Interaction Risk Model with Delayed Claims

On a Discrete Interaction Risk Model with Delayed Claims

We study a discrete-time interaction risk model with delayed claims within the framework of the compound binomial model. Using the technique of generating functions, we derive both a recursive formula and a defective renewal equation for the expected discounted penalty function. As applications, the...

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Bibliographic Details
Main Authors: He Liu, Zhenhua Bao
Format: Article
Language:English
Published: MDPI AG 2015-09-01
Series:Journal of Risk and Financial Management
Subjects:
discrete risk model
delayed claim
expected discounted penalty function
generating function
recursive equation
defective renewal equation
Online Access:http://www.mdpi.com/1911-8074/8/4/355

Internet

http://www.mdpi.com/1911-8074/8/4/355

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