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Randomized observation periods for the compound Poisson risk model: the discounted penalty function. (English) Zbl 1401.91089
Summary: In the framework of collective risk theory, we consider a compound Poisson risk model for the surplus process where the process (and hence ruin) can only be observed at random observation times. For Erlang(\(n\)) distributed inter-observation times, explicit expressions for the discounted penalty function at ruin are derived. The resulting model contains both the usual continuous-time and the discrete-time risk model as limiting cases, and can be used as an effective approximation scheme for the latter. Numerical examples are given that illustrate the effect of random observation times on various ruin-related quantities.

MSC:
91B30 Risk theory, insurance (MSC2010)
62P05 Applications of statistics to actuarial sciences and financial mathematics
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