Article ID Journal Published Year Pages File Type
1155112 Statistics & Probability Letters 2008 10 Pages PDF
Abstract

In this paper, we consider the expected discounted penalty function (i.e., the Gerber–Shiu function) for the continuous-time compound binomial risk model. A recursive equation and the Laplace transform of this function are obtained. Some properties related to the moment of the surplus immediately before ruin, the moment of the deficit at ruin and the Laplace transform of the ruin time are obtained by appropriate choices of parameters of the penalty function. Finally, an example is given for the case when the claim-size distribution is geometric.

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Physical Sciences and Engineering Mathematics Statistics and Probability
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