Discrete Risk Model Revisited

The Gerber–Shiu Discounted Penalty Function for the Bi-Seasonal Discrete Time Risk Model

“…Recursive methods were successfully analysed in many diverse fields, ranging from queuing models (Ferreira et al, 2017) to dynamical systems (De La Sen, 2016). Various properties of the Gerber-Shiu function in the discrete time risk models were considered by Bao and Liu (2016), Cheng et al (2000), Li and Wu (2015), Li (2005), Li and Garrido (2002), Li et al (2009), Liu et al (2017), Liu and Guo (2006), Marceau (2009), Pavlova and Willmot (2004). For instance, in Li and Garrido (2002), it is shown that values of function δ,w of the homogeneous discrete time risk model can be calculated using the following formulas…”

On the discrete-time compound renewal risk model with dependence

“…, r l+m . From Lemma 2.2 of Liu and Guo (2006), we have |r 1 | ≤ |r 2 | ≤ · · · ≤ |r l | < 1 ≤ |r l+1 | ≤ · · · ≤ |r l+m |. Now, for u ∈ {0, 1, 2, .…”

Discrete time ruin probability with Parisian delay

“…Model (1) with such distribution of claims is a particular case of widely used compound binomial model. In this model at each unit of time a claim might arrive with probability b and there is no claim with probability 1 − b (see Cheng et al [8], Li and Guo [40], dos Reis [44]). By lack of memory property of geometric distribution, we have:…”