On the generalized Gerber–Shiu function for surplus processes with interest

Shuanming Li and Yi Lu

Insurance: Mathematics and Economics, 2013, vol. 52, issue 2, 127-134

Abstract: In this paper, we study the generalized expected discounted penalty (Gerber–Shiu) function in a risk process with credit and debit interests. We define Tu,z to be the first time that the surplus process drops below a certain level z from the initial surplus u(>z). The time of ruin and the time of absolute ruin are special cases of this stopping time. The generalized Gerber–Shiu function is defined on three random variables: the first time that the surplus drops below z from u, Tu,z, the surplus prior to Tu,z, and the amount by which the surplus is below z.

Keywords: Risk model with interest; The generalized Gerber–Shiu function; Ruin probability; Absolute ruin; The maximum surplus before ruin; The maximum deficit after ruin (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:52:y:2013:i:2:p:127-134

DOI: 10.1016/j.insmatheco.2012.11.009

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