A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium

Eric C.K. Cheung

Insurance: Mathematics and Economics, 2011, vol. 48, issue 3, 384-397

Abstract: In a general Sparre Andersen risk model with surplus-dependent premium income, the generalization of Gerber-Shiu function proposed by Cheung et al. (2010a) is studied. A general expression for such Gerber-Shiu function is derived, and it is shown that its determination reduces to the evaluation of a transition function which is independent of the penalty function. Properties of and explicit expressions for such a transition function are derived when the surplus process is subject to (i) constant premium; (ii) a threshold dividend strategy; or (iii) credit interest. Extension of the approach is discussed for an absolute ruin model with debit interest.

Keywords: Generalized; penalty; function; Gerber-Shiu; function; Sparre; Andersen; model; Surplus-dependent; premium; rate; Threshold; dividend; strategy; Credit; interest; Absolute; ruin (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:48:y:2011:i:3:p:384-397

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