 Surplus analysis for a class of Coxian interclaim time distributions with applications to mixed Erlang claim amountsGordon E. Willmot and Jae-Kyung Woo Insurance: Mathematics and Economics, 2010, vol. 46, issue 1, 32-41 Abstract: Gerber-Shiu analysis with the generalized penalty function proposed by Cheung et al. (in press-a) is considered in the Sparre Andersen risk model with a Kn family distribution for the interclaim time. A defective renewal equation and its solution for the present Gerber-Shiu function are derived, and their forms are natural for analysis which jointly involves the time of ruin and the surplus immediately prior to ruin. The results are then used to find explicit expressions for various defective joint and marginal densities, including those involving the claim causing ruin and the last interclaim time before ruin. The case with mixed Erlang claim amounts is considered in some detail. Keywords: Sparre; Andersen; risk; process; Kn; family; of; distributions; Combination; of; Erlangs; Mixtures; of; Erlangs; Defective; renewal; equation; Compound; geometric; distribution; Ladder; height; Generalized; Lundberg'; s; fundamental; equation; Lagrange; polynomials (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:46:y:2010:i:1:p:32-41 Access Statistics for this article Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu More articles in Insurance: Mathematics and Economics from Elsevier |
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