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- W2032086247 abstract "In this paper, we consider the Sparre Andersen risk model with an arbitrary interclaim time distribution and a fairly general class of distributions for the claim sizes. Via a two-step procedure which involves a combination of a probabilitic and an analytic argument, an explicit expression is derived for the Gerber–Shiu discounted penalty function, subject to some restrictions on its form. A special case of Sparre Andersen risk models is then further analyzed, whereby the claim sizes’ distribution is assumed to be a mixture of exponentials. Finally, a numerical example follows to determine the impact on various ruin related quantities of assuming a heavy-tail distribution for the interclaim times." @default.
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- W2032086247 date "2008-04-01" @default.
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- W2032086247 title "On the Gerber–Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution" @default.
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- W2032086247 doi "https://doi.org/10.1016/j.insmatheco.2007.06.004" @default.
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