On a perturbed Sparre Andersen risk model with multi-layer dividend strategy

被引：4

作者：

Yang, Hu ^{[1
]}

Zhang, Zhimin ^{[1
]}

机构：

[1] Chongqing Univ, Dept Stat & Actuarial Sci, Chongqing, Sichuan, Peoples R China

来源：

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2009年 / 232卷 / 02期

关键词：

Sparre Andersen risk model; Multi-layer dividend strategy; Discounted penalty function; Defective renewal equation; DISCOUNTED PENALTY-FUNCTION; RUIN; DIFFUSION;

D O I：

10.1016/j.cam.2009.06.032

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we consider a perturbed Sparre Andersen risk model, in which the inter-claim times are generalized Erlang(n) distributed. Under the multi-layer dividend strategy, piece-wise integro-differential equations for the discounted penalty functions are derived, and a recursive approach is applied to express the solutions. A numerical example to calculate the ruin probabilities is given to illustrate the solution procedure. Crown Copyright (C) 2009 Published by Elsevier B.V. All rights reserved.

引用

页码：612 / 624

页数：13

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