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dc.contributor.authorWillmot, Gordon E.en_US
dc.contributor.authorDickson, David C. M.en_US
dc.date.accessioned2014-05-22T09:52:43Z
dc.date.available2014-05-22T09:52:43Z
dc.date.issued2002-08en_US
dc.date.submitted2002-10-08en_US
dc.identifier.citationWillmot, Gordon E. and Dickson, David C. M. (2002) The Gerber-Shiu discounted penalty function in the stationary renewal risk model.en_US
dc.identifier.isbn0734028911en_US
dc.identifier.urihttp://hdl.handle.net/11343/33694
dc.descriptionISBN 0734028911 research paper no. 102en_US
dc.description.abstractThe 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.en_US
dc.formatapplication/pdfen_US
dc.languageengen_US
dc.relation.isversionofhttp://www.economics.unimelb.edu.au/actwww/No102.pdfen_US
dc.subjectSparre Andersen modelen_US
dc.subjectseverity of ruinen_US
dc.subjectdeficit at ruinen_US
dc.subjectLaplace transformen_US
dc.subjectLundberg's fundamental equation.en_US
dc.titleThe Gerber-Shiu discounted penalty function in the stationary renewal risk modelen_US
dc.typePreprinten_US
melbourne.peerreviewNon Peer Revieweden_US
melbourne.affiliation.departmentEconomics and Commerce: Centre for Actuarial Studiesen_US
melbourne.source.month08en_US
melbourne.publicationid20464en_US
melbourne.elementsidNA
melbourne.contributor.authorWillmot, Gordon
melbourne.contributor.authorDickson, David
melbourne.accessrightsOpen Access


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