In this paper we consider the ordinary renewal risk model and we solve the usual integro-differential equation of the Geber-Shiu with Laplace transform, when the claim size distribution in an Erlang. This leads to an explicit expression for the expected discounted penalty function, i.e. for the function introduced by Geber and Shiu [1998].
On the discounted penality function in a renewal risk model
FERRENTINO, Rosa
2012-01-01
Abstract
In this paper we consider the ordinary renewal risk model and we solve the usual integro-differential equation of the Geber-Shiu with Laplace transform, when the claim size distribution in an Erlang. This leads to an explicit expression for the expected discounted penalty function, i.e. for the function introduced by Geber and Shiu [1998].File in questo prodotto:
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