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On a Discrete Interaction Risk Model with Delayed Claims

1
School of Mathematics, Physics and Biological Engineering, Inner Mongolia University of Science and Technology, Baotou 014010, China
2
School of Mathematics, Liaoning Normal University, Dalian 116029, China
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Author to whom correspondence should be addressed.
Academic Editor: Michael McAleer
J. Risk Financial Manag. 2015, 8(4), 355-368; https://doi.org/10.3390/jrfm8040355
Received: 26 June 2015 / Revised: 2 September 2015 / Accepted: 14 September 2015 / Published: 29 September 2015
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 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
Keywords: discrete risk model; delayed claim; expected discounted penalty function;generating function; recursive equation; defective renewal equation discrete risk model; delayed claim; expected discounted penalty function;generating function; recursive equation; defective renewal equation
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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.

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