The Gerber-Shiu discounted penalty function in the stationary renewal risk model.

DOI10.1016/S0167-6687(03)00129-XzbMath1072.91027OpenAlexW2088549373MaRDI QIDQ1413408

Gordon E. Willmot, David C. M. Dickson

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(03)00129-x

zbMATH Keywords

Laplace transformdeficit at ruinsurplus prior to ruindefective renewal equationdiscounted penalty functionSparre Andersen modelordinary renewal risk modelLundberg's fundamental equationstationary renewal risk process

Mathematics Subject Classification ID

Related Items (34)

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Cites Work

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• The surpluses immediately before and at ruin, and the amount of the claim causing ruin
• Aspects of risk theory
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• On the time to ruin for Erlang(2) risk processes.
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Lundberg approximations for compound distributions with insurance applications
• Analysis of a defective renewal equation arising in ruin theory
• On the Distribution of the Deficit at Ruin when Claims are Phase-type
• Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
• On the Time Value of Ruin

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