On the expected discounted penalty function in a delayed-claims risk model |
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| Authors: | Hui Meng Guo-jing Wang |
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| Affiliation: | Hui MENG 1,,Guo-jing WANG 2 1 China Institute for Actuarial Science,Central University of Finance and Economics,Beijing 100081,China 2 Department of Mathematics and Center for Financial Engineering,Soochow University,Suzhou 215006,China |
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| Abstract: | ![]()
In this paper, we consider a risk model in which each main claim may induce a delayed claim, called a by-claim. We assume that the time for the occurrence of a by-claim is random. We investigate the expected discounted penalty function, and derive the defective renewal equation satisfied by it. We obtain some explicit results when the main claim and the by-claim are both exponentially distributed, respectively. We also present some numerical illustrations. |
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| Keywords: | main claim by-claim penalty function generalized Lundberg’s equation operator renewal equation |
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