On the Compound Binomial Risk Model with Delayed Claims and Randomized Dividends

Abstract

This paper extends the work of Yuen et al. (2013), who obtained explicit results for the discount-free Gerber-Shiu function for a compound binomial risk model in the presence of delayed claims and a randomized dividend strategy with a zero threshold level. Specifically, we establish a recursion method for computing the Gerber-Shiu expected discounted penalty function, which entails a number of important quantities in ruin theory, within the framework of the compound binomial aggregate claims with delayed by-claims and randomized dividends payable at a non-negative threshold level.

Recurrent Sequences Play for Survival Probability of Discrete Time Risk Model

“…Since 1957, when the Sparre Andersen's risk model (1) was introduced, there occurred a significant amoutn of research papers across the world on certain versions of the model (1). For example, [2][3][4][5][6][7][8][9][10][11][12] and many others. An observable break in the subject was achieved when [7,13,14] were published in 1988.…”