A note on a generalized discounted penalty function in a Sparre Andersen risk model perturbed by diffusion (Q2319082): Difference between revisions
From MaRDI portal
Created claim: Wikidata QID (P12): Q58917379, #quickstatements; #temporary_batch_1705103307034 |
Added link to MaRDI item. |
||
links / mardi / name | links / mardi / name | ||
Revision as of 15:33, 2 February 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A note on a generalized discounted penalty function in a Sparre Andersen risk model perturbed by diffusion |
scientific article |
Statements
A note on a generalized discounted penalty function in a Sparre Andersen risk model perturbed by diffusion (English)
0 references
16 August 2019
0 references
Summary: We consider a Sparre Andersen risk model perturbed by diffusion where the interclaim times are generalized \(\operatorname{Erlang}(n)\) 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.
0 references
Sparre Andersen risk model
0 references
discounted penalty function
0 references
diffusional perturbation
0 references
integrodifferential equations
0 references