A generalized penalty function in the Sparre-Andersen risk model with two-sided jumps

Zhimin Zhang and Hu Yang

Statistics & Probability Letters, 2010, vol. 80, issue 7-8, 597-607

Abstract: In this paper, we consider a Sparre-Andersen risk model with two-sided jumps, where the downward jumps represent the claims as usual and the upward jumps are also allowed to explain random gains. A generalized discounted penalty function is studied by using random walk techniques and the renewal theory.

Date: 2010
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