The Gerber-Shiu discounted penalty function in the stationary renewal risk model

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    Author
    Willmot, Gordon E.; Dickson, David C. M.
    Date
    2002-08
    University of Melbourne Author/s
    Willmot, Gordon; Dickson, David
    Affiliation
    Economics and Commerce: Centre for Actuarial Studies
    Metadata
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    Document Type
    Preprint
    Citations
    Willmot, Gordon E. and Dickson, David C. M. (2002) The Gerber-Shiu discounted penalty function in the stationary renewal risk model.
    Access Status
    Open Access
    URI
    http://hdl.handle.net/11343/33694
    Description

    ISBN 0734028911 research paper no. 102
    Abstract
    The discounted penalty function introduced by Gerber and Shiu (1998) is considered in the stationary renewal risk model, where it is expressed in terms of the same discounted penalty function in the ordinary renewal risk model. This relationship unifies and generalizes known special cases. An invariance property between the stationary renewal risk model and the classical Poisson model with respect to the ruin probability is also generalized as a result.
    Keywords
    Sparre Andersen model; severity of ruin; deficit at ruin; Laplace transform; Lundberg's fundamental equation.

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