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...

This carefully written monograph covers the Sparre Andersen process in an actuarial context using the renewal process as the model for claim counts. A unified reference on Sparre Andersen (renewal risk) processes is included, often missing from existing literature. The authors explore recent...