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A note on a class of delayed renewal risk processes [An article from: Insurance Mathematics and Economics]
Book Details
Author(s)G.E. Willmot
PublisherElsevier
ISBN / ASINB000RQYILY
ISBN-13978B000RQYIL2
MarketplaceFrance 🇫🇷
Description
This digital document is a journal article from Insurance Mathematics and Economics, published by Elsevier in 2004. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
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.
Description:
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.
