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

DOI10.1016/j.insmatheco.2009.05.009zbMath1231.91157OpenAlexW2087307314MaRDI QIDQ659190

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

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

NBUEsscher transformdefective renewal equationladder heightcompound geometric distributionCramer's asymptotic ruin formulageneralized adjustment coefficientlast interclaim timeLundberg's fundamental equation

Mathematics Subject Classification ID

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