Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
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Publication:659190
DOI10.1016/j.insmatheco.2009.05.009zbMath1231.91157MaRDI QIDQ659190
Eric C. K. Cheung, Jae-Kyung Woo, David Landriault, Gordon E. Willmot
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.05.009
NBU; Esscher transform; defective renewal equation; ladder height; compound geometric distribution; Cramer's asymptotic ruin formula; generalized adjustment coefficient; last interclaim time; Lundberg's fundamental equation
62P05: Applications of statistics to actuarial sciences and financial mathematics
60K10: Applications of renewal theory (reliability, demand theory, etc.)
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