Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models

DOI10.1016/j.insmatheco.2009.05.009zbMath1231.91157MaRDI QIDQ659190

Gordon E. Willmot, Eric C. K. Cheung, David Landriault, Jae-Kyung Woo

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

zbMATH Keywords

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

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60K10: Applications of renewal theory (reliability, demand theory, etc.)

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