The Gerber–Shiu discounted penalty function in the stationary renewal risk model
نویسندگان
چکیده
منابع مشابه
On the discounted penalty function in the renewal risk model with general interclaim times
The defective renewal equation satisfied by the Gerber-Shiu discounted penalty function in the renewal risk model with arbitrary interclaim times is analyzed. The ladder height distribution is shown to be a mixture of residual lifetime claim severity distributions, which results in an invariance property satisfied by a large class of claim amount models. In particular, when claims are exponenti...
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2003
ISSN: 0167-6687
DOI: 10.1016/s0167-6687(03)00129-x