A Note on a Generalized Discounted Penalty Function in a Sparre Andersen Risk Model Perturbed by Diffusion

Chaolin Liu and Zhimin Zhang

Abstract and Applied Analysis, 2013, vol. 2013, 1-6

Abstract:

We consider a Sparre Andersen risk model perturbed by diffusion where the interclaim times are generalized Erlang( n ) distribution. Generalized discounted penalty functions incorporating the maximum surplus before ruin are studied. We derive the integrodifferential equations and give the solutions for the generalized discounted penalty functions.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlaaa:759352

DOI: 10.1155/2013/759352

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