Abstract
In this paper, we study the Gerber–Shiu expected discounted penalty function in a Sparre Andersen risk model probabilistically. This is implemented through the modified random walk defined herein. As a result, we derive explicit formulas for the discounted probability of ruin and the discounted distribution of the deficit at ruin when the distribution of the interclaim times is arbitrary and the distribution of claim sizes is phase-type. In addition, we provide iterative schemes for evaluating the formulas.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
