Győrfy-Bátori, András; Mihálykó, Csaba; Orbán-Mihálykó, Éva A discrete Sparre Andersen risk model with general income rate. (Hungarian) Zbl 1449.91035 Alkalmazott Mat. Lapok 36, No. 2, 247-254 (2019). Summary: A discrete Sparre Andersen risk process with general income rate is investigated. A discrete version of the Gerber-Shiu function is introduced and a difference equation is set up for it. The existence and the uniqueness of its solution is investigated and an analytical solution is given in the case when the claim size has negative binomial distribution. An example is given for illustrating the computations. MSC: 91B05 Risk models (general) 60K10 Applications of renewal theory (reliability, demand theory, etc.) Keywords:risk process; discrete model; negative binomial claim size distribution; analytical solution PDFBibTeX XMLCite \textit{A. Győrfy-Bátori} et al., Alkalmazott Mat. Lapok 36, No. 2, 247--254 (2019; Zbl 1449.91035) Full Text: DOI