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A class of delayed renewal risk processes with a threshold dividend strategy
Authors:Wu-yuan Jiang  Zai-ming Liu
Institution:[1]School of Mathematics, Central South University, Changsha 410075, Hunan, China [2]Department of Mathematics, Hunan Institute of Science aud Technology, Yueyang 414006, Hunan, China
Abstract:This paper considers a class of delayed renewal risk processes with a threshold dividend strategy. The main result is an expression of the Gerber-Shiu expected discounted penalty function in the delayed renewal risk model in terms of the corresponding Gerber-Shiu function in the ordinary renewal model. Subsequently, this relationship is considered in more detail in both the stationary renewal risk model and the ruin probability.
Keywords:Delayed renewal risk process  Gerber-Shiu discounted penalty function  Threshold dividend strategy  Ruin probability  Ordinary renewal risk model
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