Randomized observation times for the compound Poisson risk model: The discounted penalty function

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Etat: Serval
Version: de l'auteur
ID Serval
serval:BIB_909A5710D0BC
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Randomized observation times for the compound Poisson risk model: The discounted penalty function
Périodique
Scandinavian Actuarial Journal
Auteur(s)
Albrecher H., Cheung E.C.K., Thonhauser S.
ISSN
0346-1238
Statut éditorial
Publié
Date de publication
11/2013
Peer-reviewed
Oui
Numéro
6
Pages
424-452
Langue
anglais
Résumé
In the framework of collective risk theory, we consider a compound Poisson risk model for the surplus process where the process (and hence ruin) can only be observed at random observation times. For Erlang(n) distributed inter-observation times, explicit expressions for the discounted penalty function at ruin are derived. The resulting model contains both the usual continuous-time and the discrete-time risk model as limiting cases, and can be used as an effective approximation scheme for the latter. Numerical examples are given that illustrate the effect of random observation times on various ruin-related quantities.
Mots-clé
compound Poisson risk model , Gerber-Shiu function, Erlangization , defective renewal equation, discounted density
Web of science
Création de la notice
29/08/2011 23:41
Dernière modification de la notice
03/03/2018 19:26
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