A note on a class of delayed renewal risk processes
نویسنده
چکیده
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. © 2004 Elsevier B.V. All rights reserved.
منابع مشابه
A Note on the Ruin Probability in the Delayed Renewal Risk Model
Veraverbeke (1977, Stochastic Processes Appl. 5, no. 1, 27–37) and Embrechts and Veraverbeke (1982, Insurance Math. Econom. 1, no. 1, 55–72) obtained a simple asymptotic relation for the ruin probability in the renewal risk model under the assumption that the claim size is heavy tailed. This note points out that the relation still holds in the delayed renewal risk model.
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