On a general class of renewal risk process: analysis of the Gerber-Shiu function
2005 ◽
Vol 37
(03)
◽
pp. 836-856
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Keyword(s):
We consider a compound renewal (Sparre Andersen) risk process with interclaim times that have a K n distribution (i.e. the Laplace transform of their density function is a ratio of two polynomials of degree at most n ∈ N). The Laplace transform of the expected discounted penalty function at ruin is derived. This leads to a generalization of the defective renewal equations given by Willmot (1999) and Gerber and Shiu (2005). Finally, explicit results are given for rationally distributed claim severities.
2005 ◽
Vol 37
(3)
◽
pp. 836-856
◽
2005 ◽
Vol 20
(3)
◽
pp. 289-296
2008 ◽
Vol 42
(1)
◽
pp. 59-64
◽
2007 ◽
Vol 40
(2)
◽
pp. 293-301
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2010 ◽
Vol 108-111
◽
pp. 1103-1108
2011 ◽
Vol 81
(4)
◽
pp. 489-501
◽