The Gerber–Shiu discounted penalty function in the stationary renewal risk model
GE Willmot, DCM Dickson - Insurance: Mathematics and Economics, 2003 - Elsevier
The discounted penalty function introduced by Gerber and Shiu [North American Actuarial
Journal 2 (1998) 48] is considered in the stationary renewal risk model, where it is
expressed in terms of the same discounted penalty function in the ordinary renewal risk
model. This relationship unifies and generalizes known special cases. An invariance
property between the stationary renewal risk model and the classical Poisson model with
respect to the ruin probability is also generalized as a result.
Journal 2 (1998) 48] is considered in the stationary renewal risk model, where it is
expressed in terms of the same discounted penalty function in the ordinary renewal risk
model. This relationship unifies and generalizes known special cases. An invariance
property between the stationary renewal risk model and the classical Poisson model with
respect to the ruin probability is also generalized as a result.
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