On the Evaluation of Expected Penalties at Claim Instants That Cause Ruin in the Classical Risk Model
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KeywordsClassical risk model Finite-time ruin probability Surplus before ruin Deficit after ruin Expected penalty function.
AMS 2000 Subject ClassificationPrimary 90B70 62E99 Secondary 91D35
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The author would like to thank two anonymous reviewers for their constructive comments for improving the paper and Dr. Shuanming Li for insightful discussions on the topic. This research was supported by the Natural Science and Engineering Research Council (NSERC) of Canada.
- Gerber HU (1979) An introduction to mathematical risk theory. S.S. Huebner Foundation Monographs, University of PennsylvaniaGoogle Scholar