Article ID Journal Published Year Pages File Type
4664168 Acta Mathematica Scientia 2010 9 Pages PDF
Abstract

We consider that the reserve of an insurance company follows a renewal risk process with interest and dividend. For this risk process, we derive integral equations and exact infinite series expressions for the Gerber-Shiu discounted penalty function. Then we give lower and upper bounds for the ruin probability. Finally, we present exact expressions for the ruin probability in a special case of renewal risk processes.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)