On a general class of renewal risk process: analysis of the Gerber-Shiu function
On a general class of renewal risk process: analysis of the Gerber-Shiu function
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DOI：
10.1239/aap/1127483750
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发表时间：
2005-09
影响因子：
1.2
通讯作者：
Shuanming Li;José Garrido
中科院分区：
文献类型：
--
作者：
Shuanming Li;José Garrido
We consider a compound renewal (Sparre Andersen) risk process with interclaim times that have a K n distribution (i.e. the Laplace transform of their density function is a ratio of two polynomials of degree at most n ∈ N). The Laplace transform of the expected discounted penalty function at ruin is derived. This leads to a generalization of the defective renewal equations given by Willmot (1999) and Gerber and Shiu (2005). Finally, explicit results are given for rationally distributed claim severities.
