On a generalization of the expected discounted penalty function in a discrete‐time insurance risk model

David Landriault

Applied Stochastic Models in Business and Industry, 2008, vol. 24, issue 6, 525-539

Abstract: In this paper, we propose a generalization of the expected discounted penalty function and analyze the proposed analytic tool in the framework of the compound binomial model with a general premium rate c (c ∈ ℕ+) received per period. We derive an explicit expression for this generalized analytic tool in terms of the zeros of a matrix determinant. We then examine the original expected discounted penalty function in the compound binomial model with a general premium rate c, generalizing the results of Cheng et al. (Insur. Math. Econ. 2000; 26:239–250) in the framework of the compound binomial model with a unit premium rate. A numerical example is then considered to compare the original expected discounted penalty function with its generalized analytic tool. Copyright © 2008 John Wiley & Sons, Ltd.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:24:y:2008:i:6:p:525-539

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