Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/178566 
Year of Publication: 
2015
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 8 [Issue:] 4 [Publisher:] MDPI [Place:] Basel [Year:] 2015 [Pages:] 355-368
Publisher: 
MDPI, Basel
Abstract: 
We study a discrete-time interaction risk model with delayed claims within the framework of the compound binomial model. Using the technique of generating functions, we derive both a recursive formula and a defective renewal equation for the expected discounted penalty function. As applications, the probabilities of ruin and the joint distributions of the surplus one period to ruin and the deficit at ruin are investigated. Numerical illustrations are also given.
Subjects: 
discrete risk model
delayed claim
expected discounted penalty function
generating function
recursive equation
defective renewal equation
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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