The Gerber-Shiu discounted penalty function in the delayed renewal risk process with random income

被引：20

作者：

Bao, Zhen-hua ^{[1
]}

Ye, Zhong-xing

机构：

[1] Liaoning Normal Univ, Sch Math, Dalian 116029, Peoples R China

[2] Shanghai Jiao Tong Univ, Dept Math, Shanghai 200240, Peoples R China

来源：

APPLIED MATHEMATICS AND COMPUTATION | 2007年 / 184卷 / 02期

关键词：

delayed renewal risk process; Gerber-Shiu discounted penalty function; ruin probability; Sparre-Anderson model; stationary renewal risk process;

D O I：

10.1016/j.amc.2006.06.076

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper considers the delayed renewal risk model with random premium income. The Gerber-Shiu discounted penalty function in the delayed renewal model is expressed in terms of the corresponding Gerber-Shiu function in the ordinary renewal model. The obtained results can be viewed as the discrete analogy of the classical Sparre-Anderson risk model. (c) 2006 Elsevier Inc. All rights reserved.

引用

页码：857 / 863

页数：7

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