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Discrete Risk Model Revisited

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Abstract

In this paper, the fully discrete risk model is considered. Claim sizes are assumed to be integer-valued. A new method is employed to derive some explicit formulas of the Gerber-Shiu penalty function. Characteristic equations corresponding to recursive equations satisfied by Gerber-Shiu penalty function are analyzed and explicit expressions of the penalty function are then obtained. As a special case, the probability of ruin is obtained.

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Authors and Affiliations

  1. School of Mathematical Sciences, Nankai University, Tianjin, China

    S. X. Liu

  2. School of Mathematical Sciences and LPMC, Nankai University, Tianjin, 300071, P.R. China

    J. Y. Guo

Authors
  1. S. X. Liu
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  2. J. Y. Guo
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Correspondence to J. Y. Guo.

Additional information

National Natural Science Foundation of China(10571092,10271062)

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Liu, S.X., Guo, J.Y. Discrete Risk Model Revisited. Methodol Comput Appl Probab 8, 303–313 (2006). https://doi.org/10.1007/s11009-006-8554-9

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  • DOI: https://doi.org/10.1007/s11009-006-8554-9

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