A note on a generalized discounted penalty function in a Sparre Andersen risk model perturbed by diffusion (Q2319082)
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scientific article; zbMATH DE number 7095335
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| English | A note on a generalized discounted penalty function in a Sparre Andersen risk model perturbed by diffusion |
scientific article; zbMATH DE number 7095335 |
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A note on a generalized discounted penalty function in a Sparre Andersen risk model perturbed by diffusion (English)
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16 August 2019
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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.
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Sparre Andersen risk model
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discounted penalty function
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diffusional perturbation
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integrodifferential equations
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