Journal article

On a general class of renewal risk process: Analysis of the Gerber-Shiu function

SM Li, J Garrido

ADVANCES IN APPLIED PROBABILITY | APPLIED PROBABILITY TRUST | Published : 2005

Abstract

We consider a compound renewal (Sparre Andersen) risk process with interclaim times that have a Kn distribution (i.e. the Laplace transform of their density function is a ratio of two polynomials of degree at most n ∈ ∌). The Laplace transform of the expected discounted penalty function at ruin is derived. This leads to a generalization of the defective renewal equations given by Willmot (1999) and Gerber and Shiu (2005). Finally, explicit results are given for rationally distributed claim severities. © Applied Probability Trust 2005.

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