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...

In this paper, a risk model where claims arrive according to a Markovian arrival process (MAP) is considered. A generalization of the well-known Gerber-Shiu function is proposed by incorporating the maximum surplus level before ruin into the penalty function. For this wider class of penalty...

The risk model with interclaim-dependent claim sizes proposed by Boudreault et al. [Boudreault, M., Cossette, H., Landriault, D., Marceau, E., 2006. On a risk model with dependence between interclaim arrivals and claim sizes. Scand. Actur. J., 265-285] is studied in the presence...

In this paper, we consider the Sparre Andersen risk model with an arbitrary interclaim time distribution and a fairly general class of distributions for the claim sizes. Via a two-step procedure which involves a combination of a probabilitic and an analytic argument, an explicit expression is...

In this paper, we study the dual risk process in ruin theory (see e.g. Cramér, H. 1955. Collective Risk Theory: A Survey of the Theory from the Point of View of the Theory of Stochastic Processes. Ab Nordiska Bokhandeln, Stockholm, Takacs, L. 1967. Combinatorial methods in the Theory of...