On the discounted penalty function in the renewal risk model with general interclaim times

DOI10.1016/j.insmatheco.2006.08.005zbMath1119.91058OpenAlexW2025758124MaRDI QIDQ997079

Gordon E. Willmot

Publication date: 19 July 2007

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.08.005

zbMATH Keywords

Laplace transformexponential distributionGerber-Shiu functiondeficit at ruintime of ruinmixed Erlang distributiondefective renewal equationresidual lifetime distributioncompound geometrichigher-order equilibrium distributionSparre Andersen processsurplus at ruin

Mathematics Subject Classification ID

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