The Gerber-Shiu function for the compound Poisson Omega model with a three-step premium rate

Zhongqin Gao and Jingmin He

Communications in Statistics - Theory and Methods, 2019, vol. 48, issue 24, 6019-6037

Abstract: The compound Poisson Omega model is considered in the presence of a three-step premium rate. Firstly, the integral equations and the integro-differential equations for the Gerber-Shiu expected discounted penalty function are derived. Secondly, the integro-differential equations for the Gerber-Shiu expected discounted penalty function are determined in three different initial conditions. The results are then used to find the bankruptcy probability. Finally, the special cases where the claim size distribution is exponential be discussed in some detail in order to illustrate the effect of the model with three-step premium rate.

Date: 2019
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2018.1524488 (text/html)
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:taf:lstaxx:v:48:y:2019:i:24:p:6019-6037

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2018.1524488

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().