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

摘要：

　　This paper constructs a Sparre Andersen risk model with a constant dividend barrier in which the claim inter-arrival 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.

关键词： discounted penalty function Erlang(n) risk process Sparre Andersen risk model

作者: HUANG Yujuan YU Wenguang

作者单位: Department of Mathematics and Physics Shandong Jiaotong University Jinan,China School of Insurance Shandong University of Finance and Economics Jinan,China

会议类型: 国际会议

会议名称: 2012 IEEE 5th International Conference on Management Engineering & Technology of Statistics (第五届(2012)管理工程与统计技术国际学术研讨会(ICMETS2012))

会议地点: 青岛

会议语种:英文

页码: 83-86

在线出版日期: 2012-07-20（万方平台首次上网日期，不代表论文的发表时间）