The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier (Q1718410): Difference between revisions
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Revision as of 19:58, 19 March 2024
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| English | The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier |
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The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier (English)
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8 February 2019
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Summary: This paper constructs a Sparre Andersen risk model with a constant dividend barrier in which the claim interarrival distribution is a mixture of an exponential distribution and an \(\mathrm{Erlang}(n)\) distribution. We derive the integro-differential equation satisfied by the Gerber-Shiu discounted penalty function of this risk model. Finally, we provide a numerical example.
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