A note on a class of delayed renewal risk processes

@inproceedings{Willmot2003ANO,
  title={A note on a class of delayed renewal risk processes},
  author={Gordon E. Willmot},
  year={2003}
}
The Gerber-Shiu discounted penalty function is considered for a class of delayed renewal risk processes. Special cases of the model include the stationary renewal risk model and the situation where the time until the first claim is exponentially distributed. A mathematically tractable formula is derived for the Gerber-Shiu function, and consequently for quantities associated with the deficit at ruin, the surplus immediately prior to ruin, and the time of ruin. © 2004 Elsevier B.V. All rights… CONTINUE READING

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