On the discounted penalty function in a Markov-dependent risk model

Abstract

We present a unified approach to the analysis of several popular models in collective risk theory. Based on the analysis of the discounted penalty function in a semi-Markovian risk model by means of Laplace–Stieltjes transforms, we rederive and extend some recent results in the field. In particular, the classical compound Poisson model, Sparre Andersen models with phase-type interclaim times and models with causal dependence of a certain Markovian type between claim sizes and interclaim times are contained as special cases.