On the Gerber-Shiu function and change of measure
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Publication:659175
DOI10.1016/j.insmatheco.2009.04.004zbMath1231.91232MaRDI QIDQ659175
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.2009.04.004
Laplace transform; perturbed risk model; change of measure; expected discounted penalty function; Sparre Andersen risk model; Björk-Grandell risk model; lump sum premia; Markov-modulated risk model
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