On the Gerber-Shiu Discounted Penalty Function for the Ordinary Renewal Risk Model with Constant Interest

Rong Wu, Yuhua Lu and Ying Fang

North American Actuarial Journal, 2007, vol. 11, issue 2, 119-134

Abstract: In this paper we study the Gerber-Shiu discounted penalty function for the ordinary renewal risk model modified by the constant interest on the surplus. Explicit answers are expressed by an infinite series, and a relational formula for some important joint density functions is derived. Applications of the results to the compound Poisson model are given. Finally, a lower bound and an upper bound for the ultimate ruin probability are derived.

Date: 2007
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DOI: 10.1080/10920277.2007.10597453

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