Gerber–Shiu function for the discrete inhomogeneous claim case

Abstract

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.

Keywords:

• discrete time risk model
• Gerber–Shiu function
• ruin probability
• recursive formula
• inhomogeneous claims

2000 AMS Subject Classifications:

• 91B30
• 60G50
• 03D20

Acknowledgements

We would like to thank the Editors and the anonymous referees for their time, effort and valuable comments on the manuscript.