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On a Discrete Interaction Risk Model with Delayed Claims

Author

Listed:
  • He Liu

    (School of Mathematics, Physics and Biological Engineering, Inner Mongolia University of Science and Technology, Baotou 014010, China)

  • Zhenhua Bao

    (School of Mathematics, Liaoning Normal University, Dalian 116029, China)

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.

Suggested Citation

  • He Liu & Zhenhua Bao, 2015. "On a Discrete Interaction Risk Model with Delayed Claims," JRFM, MDPI, vol. 8(4), pages 1-14, September.
    • Handle: RePEc:gam:jjrfmx:v:8:y:2015:i:4:p:355-368:d:56598
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    References listed on IDEAS

    as
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    7. Albrecher, Hansjorg & Boxma, Onno J., 2004. "A ruin model with dependence between claim sizes and claim intervals," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 245-254, October.
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