Abstract
A recursive formula of the Gerber-Shiu discounted penalty function for a compound binomial risk model with by-claims is obtained. In the discount-free case, an explicit formula is given. Utilizing such an explicit expression, we derive some useful insurance quantities, including the ruin probability, the density of the deficit at ruin, the joint density of the surplus immediately before ruin and the deficit at ruin, and the density of the claim causing ruin.
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Supported by the Research Fund for the Doctoral Program of Higher Education of China (No. 20110031120003)
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Li, Jz., Wu, R. The Gerber-Shiu discounted penalty function for a compound binomial risk model with by-claims. Acta Math. Appl. Sin. Engl. Ser. 31, 181–190 (2015). https://doi.org/10.1007/s10255-015-0459-3
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DOI: https://doi.org/10.1007/s10255-015-0459-3