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, issue 1

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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https://doi.org/10.1155/2013/759352

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnlaaa:v:2013:y:2013:i:1:n:759352

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