On a class of renewal risk model with random income
Copyright policy )On a class of renewal risk model with random income
AbstractIn this paper, we consider a renewal risk process with random premium income based on a Poisson process. Generating function for the discounted penalty function is obtained. We show that the discounted penalty function satisfies a defective renewal equation and the corresponding explicit expression can be obtained via a compound geometric tail. Finally, we consider the Laplace transform of the time to ruin, and derive the closed‐form expression for it when the claims have a discrete Km distribution (i.e. the generating function of the distribution function is a ratio of two polynomials of order m∈ℕ+). Copyright © 2008 John Wiley & Sons, Ltd.
- Chongqing University China (People's Republic of)
Applications of renewal theory (reliability, demand theory, etc.), discounted penalty function, generating function, time of ruin, Risk theory, insurance, \(K_{m}\) distribution
Applications of renewal theory (reliability, demand theory, etc.), discounted penalty function, generating function, time of ruin, Risk theory, insurance, \(K_{m}\) distribution
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