Lin, X. Sheldon; Wang, Tao - In: Insurance: Mathematics and Economics 44 (2009) 2, pp. 287-295
The expected discounted penalty function proposed in the seminal paper by Gerber and Shiu [Gerber, H.U., Shiu, E.S.W., 1998. On the time value of ruin. North Amer. Actuarial J. 2 (1), 48-78] has been widely used to analyze the joint distribution of the time of ruin, the surplus immediately...
