On a Sparre Andersen Risk Model with Time-Dependent Claim Sizes and Jump-Diffusion Perturbation

Zhimin Zhang (), Hailiang Yang () and Hu Yang ()
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Zhimin Zhang: Chongqing University
Hailiang Yang: The University of Hong Kong
Hu Yang: Chongqing University

Methodology and Computing in Applied Probability, 2012, vol. 14, issue 4, 973-995

Abstract: Abstract In this paper, we consider a Sparre Andersen risk model where the interclaim time and claim size follow some bivariate distribution. Assuming that the risk model is also perturbed by a jump-diffusion process, we study the Gerber–Shiu functions when ruin is due to a claim or the jump-diffusion process. By using a q-potential measure, we obtain some integral equations for the Gerber–Shiu functions, from which we derive the Laplace transforms and defective renewal equations. When the joint density of the interclaim time and claim size is a finite mixture of bivariate exponentials, we obtain the explicit expressions for the Gerber–Shiu functions.

Keywords: Gerber–Shiu function; Dependence; Laplace transform; Defective renewal equation; Jump-diffusion; 91B30; 91B70 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s11009-011-9215-1

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