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
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
收藏
页码:857 / 863
页数:7
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