Albrecher, Hansjörg; Constantinescu, Corina; Pirsic, … - In: Insurance: Mathematics and Economics 46 (2010) 1, pp. 42-51
We introduce an algebraic operator framework to study discounted penalty functions in renewal risk models. For inter-arrival and claim size distributions with rational Laplace transform, the usual integral equation is transformed into a boundary value problem, which is solved by symbolic...