Analysis of a generalized penalty function in a semi-Markovian risk model

@inproceedings{Cheung2008AnalysisOA,
  title={Analysis of a generalized penalty function in a semi-Markovian risk model},
  author={Eric C. K. Cheung and David Landriault},
  year={2008}
}
In this paper, an extension of the semi-Markovian risk model studied by Albrecher and Boxma (2005) is considered by allowing for general interclaim times. In such a model, we follow the ideas of Cheung et al. (2008b) and consider a generalization of the Gerber-Shiu function (see Gerber and Shiu (1998)) by incorporating two more random variables in the traditional penalty function, namely the minimum surplus level before ruin and the surplus level immediately after the second last claim prior to… CONTINUE READING

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