Discrete Risk Model Revisited

S. X. Liu () and J. Y. Guo ()
Additional contact information
S. X. Liu: Nankai University
J. Y. Guo: Nankai University

Methodology and Computing in Applied Probability, 2006, vol. 8, issue 2, 303-313

Abstract: Abstract In this paper, the fully discrete risk model is considered. Claim sizes are assumed to be integer-valued. A new method is employed to derive some explicit formulas of the Gerber-Shiu penalty function. Characteristic equations corresponding to recursive equations satisfied by Gerber-Shiu penalty function are analyzed and explicit expressions of the penalty function are then obtained. As a special case, the probability of ruin is obtained.

Keywords: Ruin probabilities; Characteristic equation; Discrete risk model; Compound binomial; Gerber-Shiu penalty function; 62P05; 91B30 (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://link.springer.com/10.1007/s11009-006-8554-9 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:spr:metcap:v:8:y:2006:i:2:d:10.1007_s11009-006-8554-9

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/11009

DOI: 10.1007/s11009-006-8554-9

Access Statistics for this article

Methodology and Computing in Applied Probability is currently edited by Joseph Glaz

More articles in Methodology and Computing in Applied Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().