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

Yujuan Huang | Zendy; Wenguang Yu | Zendy

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

Author(s) -

Yujuan Huang,

Wenguang Yu

Publication year - 2014

Publication title -

mathematical problems in engineering

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.262

H-Index - 62

eISSN - 1026-7077

pISSN - 1024-123X

DOI - 10.1155/2014/450149

Subject(s) - erlang (programming language) , dividend , risk model , penalty method , constant (computer programming) , exponential function , exponential distribution , mathematics , integro differential equation , mathematical optimization , differential equation , statistics , computer science , mathematical analysis , economics , riccati equation , functional programming , finance , theoretical computer science , programming language

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.

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