Extended Gerber–Shiu functions in a risk model with interest

We consider a compound Poisson risk model with interest. The Gerber–Shiu discounted penalty function is modified with an additional penalty for reaching a level above the initial capital. We show that the problem can be split into two independent problems; an original Gerber–Shiu function and a first passage problem. We also consider the case of negative interest. Finally, we apply the results to a model considered by Embrechts and Schmidli (1994).

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Year of publication:	2015
Authors:	Schmidli, Hanspeter
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 61.2015, C, p. 271-275
Publisher:	Elsevier
Subject:	Discounted penalty function \| Interest \| Classical risk process \| Shot noise process \| First passage time

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011263852