Cheung, Eric C.K.; Landriault, David; Willmot, Gordon E.; … - In: Insurance: Mathematics and Economics 46 (2010) 1, pp. 117-126
The structure of various Gerber-Shiu functions in Sparre Andersen models allowing for possible dependence between claim sizes and interclaim times is examined. The penalty function is assumed to depend on some or all of the surplus immediately prior to ruin, the deficit at ruin, the minimum...