On a Discrete Interaction Risk Model with Delayed Claims
AbstractWe 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 probabilities of ruin and the joint distributions of the surplus one period to ruin and the deficit at ruin are investigated. Numerical illustrations are also given. View Full-Text
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Liu, H.; Bao, Z. On a Discrete Interaction Risk Model with Delayed Claims. J. Risk Financial Manag. 2015, 8, 355-368.
Liu H, Bao Z. On a Discrete Interaction Risk Model with Delayed Claims. Journal of Risk and Financial Management. 2015; 8(4):355-368.Chicago/Turabian Style
Liu, He; Bao, Zhenhua. 2015. "On a Discrete Interaction Risk Model with Delayed Claims." J. Risk Financial Manag. 8, no. 4: 355-368.