The expected discounted penalty function for two classes of risk processes perturbed by diffusion with multiple thresholds

Wuyuan Jiang () and Zhaojun Yang
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Wuyuan Jiang: Hunan Institute of Science and Technology

Indian Journal of Pure and Applied Mathematics, 2014, vol. 45, issue 4, 479-495

Abstract: Abstract In this paper, we consider a perturbed risk model with two independent classes of risks under multiple thresholds in which both of the two inter-claim times have phase-type distributions. We obtain the integro-differential equations with boundary conditions for the expected discounted penalty function. Explicit expressions are derived if the two classes claim amount distributions both belong to the rational family.

Keywords: Two classes of risk processes; perturbed process; Gerber-Shiu penalty function; multiple thresholds; phase-type distribution (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s13226-014-0076-5

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