Moments of the time of ruin in a renewal risk model with discounted penalty

K.K. Thampi and M.J. Jacob

Journal of Risk Finance, 2008, vol. 9, issue 2, 173-187

Abstract: Purpose - This paper considers a Sparre Andersen risk process for which the claims inter‐arrival distribution is Generalized Exponential. The purpose of this paper is to find explicit expressions for the moments of time to ruin when a penalty is imposed at ruin. Design/methodology/approach - The study is focused on the functionϕδ(u), the expected discounted penalty, which is due at ruin and may depend on the deficit at the time of ruin and also on the surplus prior to ruin. It shows thatϕδ(u) satisfies an integro‐differential equation which is solved using Laplace transforms. Findings - The authors have chosen a penalty function, which is independent of the surplus immediately before ruin, and a closed form expression is obtained forϕδ(u), and then solved for the moments of time to ruin. Originality/value - New results are derived, many of which have mathematical and probabilistic interpretations, and additional insight is gained for the results in the renewal risk model.

Keywords: Risk management; Exponential forecasting; Penalty costs; Mathematical modelling (search for similar items in EconPapers)
Date: 2008
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eme:jrfpps:15265940810853922

DOI: 10.1108/15265940810853922

Access Statistics for this article

Journal of Risk Finance is currently edited by Nawazish Mirza

More articles in Journal of Risk Finance from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().