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Gerber-Shiu function for the discrete inhomogeneous claim case. (English) Zbl 1255.91176

Summary: The discrete time risk model with non-identically distributed claims is investigated. Finite and infinite time recursive Gerber–Shiu functions are considered and the algorithm of calculation guidelines is written. Examples of ruin probability and Gerber–Shiu function behaviour are shown.

MSC:

91B30 Risk theory, insurance (MSC2010)
60G50 Sums of independent random variables; random walks
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References:

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