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- Publisher
- Springer Journals
- Copyright
- Copyright © 2010 by Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences and Springer-Verlag Berlin Heidelberg
- Subject
- Mathematics; Theoretical, Mathematical and Computational Physics; Math Applications in Computer Science; Applications of Mathematics
- ISSN
- 0168-9673
- eISSN
- 1618-3932
- DOI
- 10.1007/s10255-010-0028-8
- Publisher site
- See Article on Publisher Site
Abstract
In this paper, we consider a generalization of the classical ruin model, where the income is random and the distribution of the time between two claim occurrences depends on the previous claim size. This model is more appropriate than the classical ruin model. Explicit expression for the generating function of the Gerber-Shiu expected discounted penalty function are derived. A similar model is discussed. Finally, the result are showed by two examples.
Journal
Acta Mathematicae Applicatae Sinica – Springer Journals
Published: Sep 4, 2010