The Gerber-Shiu Discounted Penalty Function of Sparre Andersen Risk Model with a Constant Dividend Barrier

被引：2

作者：

Huang, Yujuan ^{[1
]}

Yu, Wenguang ^{[2
]}

机构：

[1] Shandong Jiaotong Univ, Sch Sci, Jinan 250357, Peoples R China

[2] Shandong Univ Finance & Econ, Sch Insurance, Jinan 250014, Peoples R China

来源：

MATHEMATICAL PROBLEMS IN ENGINEERING | 2014年 / 2014卷

基金：

中国国家自然科学基金;

关键词：

JOINT DISTRIBUTION; RUIN; TIME; SURPLUS; DEFICIT; INVESTMENT; MOMENTS; BOUNDS;

D O I：

10.1155/2014/450149

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

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 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.

引用

页数：7

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