The expected discounted penalty function under a risk model with stochastic income (Q1045826)

The paper deals with a ruin model framed within the general scenario of the expected discounted penalty function, where premiums and claims follow compound Poisson processes. In this framework the authors deduce a defective renewal equation and an integral equation involving the expected penalty function; in particular explicit expressions of such functions are given in some special cases. Moreover, assuming that premiums follow the Erlang\((n, \beta)\) distribution, the authors specialize the defective renewal equation for the expected discounted penalty function. The theoretical results are applied to specific examples under particular hypotheses on claims and premiums.