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A note on a class of discrete time delayed renewal risk processes. (English) Zbl 1259.91054

Summary: The discounted penalty function, introduced by H. U. Gerber and E. S. W. Shiu [N. Am. Actuar. J. 2, No. 1, 48–78 (1998; Zbl 1081.60550)], is considered for a class of discrete time delayed renewal risk processes, where it is expressed in terms of the same discounted penalty function in the ordinary discrete time renewal risk model. The result obtained in the present paper generalizes known special case.

MSC:

91B30 Risk theory, insurance (MSC2010)

Citations:

Zbl 1081.60550
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