TY  - GEN
AU  - Willmot, Gordon E.
AU  - Dickson, David C. M.
Y2  - 2014/05/22
Y1  - 2002/08
SN  - 0734028911
UR  - http://hdl.handle.net/11343/33694
AB  - 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.
N1  - application/pdf
LA  - eng
KW  - Sparre Andersen model
KW  - severity of ruin
KW  - deficit at ruin
KW  - Laplace transform
KW  - Lundberg's fundamental equation.
T1  - The Gerber-Shiu discounted penalty function in the stationary renewal risk model
L1  - /bitstream/handle/11343/33694/65827_00000158_01_No102.pdf?sequence=1&isAllowed=y
ER  -