A generalized Sparre Andersen risk process is examined, whereby the joint distribution of the interclaim time and the ensuing claim amount is assumed to have a particular mathematical structure. This structure is present in various dependency models which have previously been proposed and...

Gerber-Shiu analysis with the generalized penalty function proposed by Cheung et al. (in press-a) is considered in the Sparre Andersen risk model with a Kn family distribution for the interclaim time. A defective renewal equation and its solution for the present Gerber-Shiu function are...

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...

We consider the dual model, which is appropriate for modeling the surplus of companies with deterministic expenses and stochastic gains, such as pharmaceutical, petroleum or commission-based companies. Dividend strategies for this model that can be found in the literature include the barrier...

In this paper we consider a multidimensional renewal risk model with regularly varying claims. This model may be used to describe the surplus of an insurance company possessing several lines of business where a large claim possibly puts multiple lines in a risky condition. Conditional on the...

Many quantities of interest in the study of renewal processes may be expressed as the solution to a special type of integral equation known as a renewal equation. The main purpose of this paper is to provide bounds for the solution of renewal equations based on various reliability...

The paper considers a renewal risk process in which a given inter-arrival time possibly has an impact on the size of the resulting claim. Under a fairly general dependency structure which contains various well-known examples in the literature as special cases, recursive formulas for the moments...