A note on a generalized discounted penalty function in a Sparre Andersen risk model perturbed by diffusion

DOI10.1155/2013/759352MaRDI QIDQ2319082zbMATH OpenOpenAlexWikidataFDO

Authors Zhimin Zhang, Chao-Lin Liu

Publication date 16 August 2019

Published in Abstract and Applied Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2013/759352

zbMATH Keywords

diffusional perturbationdiscounted penalty functionintegrodifferential equationsSparre Andersen risk model

Mathematics Subject Classification ID

Integro-ordinary differential equations (45J05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Review text

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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Cites work

• A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model
• Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times
• Introductory lectures on fluctuations of Lévy processes with applications.
• The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model
• The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
• The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
• The maximum surplus before ruin in an Erlang\((n)\) risk process and related problems

Cited in

(7)

• A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium
• On a generalized Gerber-Shiu function in a compound Poisson model perturbed by diffusion
• Authors’ Reply: The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion - Discussion by Bangwon Ko
• On the Sparre Andersen dual model perturbed by diffusion
• Diszkrét kockázati modell általános befizetési ráta mellett
• The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
• A generalized penalty function in the Sparre Andersen risk model with two-sided jumps

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