Title of article
A note on a class of delayed renewal risk processes
Author/Authors
Willmot، نويسنده , , Gordon E.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2004
Pages
7
From page
251
To page
257
Abstract
The Gerber-Shiu discounted penalty function is considered for a class of delayed renewal risk processes. Special cases of the model include the stationary renewal risk model and the situation where the time until the first claim is exponentially distributed. A mathematically tractable formula is derived for the Gerber-Shiu function, and consequently for quantities associated with the deficit at ruin, the surplus immediately prior to ruin, and the time of ruin.
Keywords
Sparre Andersen process , Exponential distribution , Modified renewal risk process , Stationary renewal risk process , Deficit at ruin , Surplus prior to ruin , Ruin probability , Gerber-Shiu function
Journal title
Insurance Mathematics and Economics
Serial Year
2004
Journal title
Insurance Mathematics and Economics
Record number
1542746
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