Cheung, Eric C.K.; Feng, Runhuan - In: Insurance: Mathematics and Economics 53 (2013) 1, pp. 98-109
An insurance risk model where claims follow a Markovian arrival process (MArP) is considered in this paper. It is shown that the expected present value of total operating costs up to default H, as a generalization of the classical Gerber–Shiu function, contains more non-trivial quantities than...