A Note on a Generalized Discounted Penalty Function in a Sparre Andersen Risk Model Perturbed by Diffusion | Zendy

Chaolin Liu | Zendy; Zhimin Zhang | Zendy

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A Note on a Generalized Discounted Penalty Function in a Sparre Andersen Risk Model Perturbed by Diffusion

Author(s) -

Chaolin Liu,

Zhimin Zhang

Publication year - 2013

Publication title -

abstract and applied analysis

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.228

H-Index - 56

eISSN - 1687-0409

pISSN - 1085-3375

DOI - 10.1155/2013/759352

Subject(s) - mathematics , penalty method , erlang (programming language) , risk model , diffusion , function (biology) , mathematical economics , mathematical optimization , thermodynamics , functional programming , physics , theoretical computer science , computer science , evolutionary biology , biology

We consider a Sparre Andersen risk model perturbed by diffusion where the interclaim times are generalized 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. © 2013 Chaolin Liu and Zhimin Zhang.

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