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A note on deficit analysis in dependency models involving Coxian claim amounts. (English) Zbl 1401.91157
Summary: In this paper, we consider a fairly large class of dependent Sparre Andersen risk models where the claim sizes belong to the class of Coxian distributions. We analyze the Gerber-Shiu discounted penalty function when the penalty function depends on the deficit at ruin. We show that the system of equations needed to solve for this quantity is surprisingly simple. Various applications of this result are also considered.

##### MSC:
 91B30 Risk theory, insurance (MSC2010) 60K10 Applications of renewal theory (reliability, demand theory, etc.) 62P05 Applications of statistics to actuarial sciences and financial mathematics
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##### References:
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