The Gerber-Shiu penalty functions for two classes of renewal risk processes

DOI10.1016/j.cam.2009.11.004zbMath1222.91024OpenAlexW1964170726MaRDI QIDQ847238

Lanpeng Ji, Chun-sheng Zhang

Publication date: 12 February 2010

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2009.11.004

zbMATH Keywords

phase-type distributionGerber-Shiu penalty functiongeneralized Lundberg's fundamental equationrational familytwo classes of renewal risk processes

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27)

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