The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times
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Publication:963936
DOI10.1016/j.amc.2010.01.068zbMath1202.91129MaRDI QIDQ963936
Rong Wu, Min Song, Jiandong Ren, Qing-bin Meng
Publication date: 14 April 2010
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2010.01.068
Markov process; phase-type distribution; time of ruin; Gerber-Shiu discounted penalty function; Sparre Anderson risk process
60K15: Markov renewal processes, semi-Markov processes
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