On a Discrete Interaction Risk Model with Delayed Claims

He Liu and Zhenhua Bao
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He Liu: School of Mathematics, Physics and Biological Engineering, Inner Mongolia University of Science and Technology, Baotou 014010, China
Zhenhua Bao: School of Mathematics, Liaoning Normal University, Dalian 116029, China

JRFM, 2015, vol. 8, issue 4, 1-14

Abstract: 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.

Keywords: discrete risk model; delayed claim; expected discounted penalty function; generating function; recursive equation; defective renewal equation (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2015
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