On the Discounted Penalty Function for Claims Having Mixed Exponential
2006 ◽
Vol 11
(4)
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pp. 413-426
Keyword(s):
It is considered the classical risk model with mixed exponential claim sizes. Using known results it is obtained the explicit expression of the GerberShiu discounted penalty function ψ(x,δ) = E e −δT 1(T < ∞) , by some infinite series. Here δ > 0 is the force of interest, x – the initial reserve and T – ruin time. The dependance of the discounted penalty function on the main parameters x, θ, λ, δ, α, σ, ν is presented in diagrams, where λ > 0 is the parameter of Poisson process, θ > 0 is the safety loading coefficient, 0 ≤ α ≤ 1 and σ, ν > 0 are the parameters of the mixed exponential distribution
2015 ◽
Vol 107
◽
pp. 183-190
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2003 ◽
Vol 33
(3)
◽
pp. 551-566
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The Expected Discounted Penalty Function with Random Income under Stochastic Discount Interest Force
2010 ◽
Vol 113-116
◽
pp. 378-381
2006 ◽
Vol 76
(12)
◽
pp. 1211-1218
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Keyword(s):
2010 ◽
Vol 29-32
◽
pp. 1150-1155
1998 ◽
Vol 23
(2)
◽
pp. 157-172
◽
Keyword(s):
2017 ◽
Vol 313
◽
pp. 499-514
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Keyword(s):