Extended Gerber–Shiu functions in a risk model with interest

Hanspeter Schmidli

Insurance: Mathematics and Economics, 2015, vol. 61, issue C, 271-275

Abstract: We consider a compound Poisson risk model with interest. The Gerber–Shiu discounted penalty function is modified with an additional penalty for reaching a level above the initial capital. We show that the problem can be split into two independent problems; an original Gerber–Shiu function and a first passage problem. We also consider the case of negative interest. Finally, we apply the results to a model considered by Embrechts and Schmidli (1994).

Keywords: Discounted penalty function; Interest; Classical risk process; Shot noise process; First passage time (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:61:y:2015:i:c:p:271-275

DOI: 10.1016/j.insmatheco.2015.01.012

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