Bao, Zhenhua; Wang, Jing On the compound binomial risk model with stochastic income. (English) Zbl 1297.62215 Int. J. Pure Appl. Math. 82, No. 3, 377-390 (2013). Summary: In this paper we consider a risk model where both premiums and claims follow compound binomial processes. A difference equation and a defective renewal equation satisfied respectively by the expected discounted penalty function are derived. Then for a special penalty function and geometrically distributed claim amounts, an explicit expression of the expected discounted penalty function is obtained. Finally, we investigate the case when premiums are degenerate at a constant amount. We derive an alternative defective renewal equation in terms of the roots of the generalized Lundberg’s fundamental equation. Cited in 1 Document MSC: 62P05 Applications of statistics to actuarial sciences and financial mathematics 91B30 Risk theory, insurance (MSC2010) Keywords:compound binomial model; defective renewal equation; difference equation; expected discounted penalty function PDFBibTeX XMLCite \textit{Z. Bao} and \textit{J. Wang}, Int. J. Pure Appl. Math. 82, No. 3, 377--390 (2013; Zbl 1297.62215) Full Text: Link