A generalized penalty function for a class of discrete renewal processes

Jae-Kyung Woo

Scandinavian Actuarial Journal, 2012, vol. 2012, issue 2, 130-152

Abstract: Analysis of a generalized Gerber–Shiu function is considered in a discrete-time (ordinary) Sparre Andersen renewal risk process with time-dependent claim sizes. The results are then applied to obtain ruin-related quantities under some renewal risk processes assuming specific interclaim distributions such as a discrete K n distribution and a truncated geometric distribution (i.e. compound binomial process). Furthermore, the discrete delayed renewal risk process is considered and results related to the ordinary process are derived as well.

Date: 2012
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DOI: 10.1080/03461238.2010.490017

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