On a general class of renewal risk process: analysis of the Gerber-Shiu function

Advances in Applied Probability - Tập 37 Số 3 - Trang 836-856 - 2005
Shuanming Li1, José Garrido2
1University of Melbourne
2Concordia University;

Tóm tắt

We consider a compound renewal (Sparre Andersen) risk process with interclaim times that have a Kn 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.

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Advances in Applied Probability

Tập 37 Số 3

836-856

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