The Gerber–Shiu discounted penalty function in the delayed renewal risk process with random income

摘要

This paper considers the delayed renewal risk model with random premium income. The Gerber–Shiu discounted penalty function in the delayed renewal model is expressed in terms of the corresponding Gerber–Shiu function in the ordinary renewal model. The obtained results can be viewed as the discrete analogy of the classical Sparre–Anderson risk model.