[1]School of Mathematics, Central South University, Changsha 410075, Hunan, China [2]Department of Mathematics, Hunan Institute of Science aud Technology, Yueyang 414006, Hunan, China
Abstract:
This paper considers a class of delayed renewal risk processes with a threshold dividend strategy. The main result is an expression of the Gerber-Shiu expected discounted penalty function in the delayed renewal risk model in terms of the corresponding Gerber-Shiu function in the ordinary renewal model. Subsequently, this relationship is considered in more detail in both the stationary renewal risk model and the ruin probability.