On a discrete risk model with two-sided jumps (Q966097)

The paper focuses on a discrete renewal risk model with phase-type interarrival times and two-sided jumps, where the downward jumps are claim losses and the the upword ones are random gains. Under the hypotheses that the downward jumps have an arbitrary probability function, the authors investigate the Gerber-Shiu discounted penalty functions, obtaining a recursive formula; moreover, assuming that the upword jumps have a rationale p.g.f., the explicit expression of the discounted penalty function is provided.