[HTML][HTML] On a perturbed Sparre Andersen risk model with threshold dividend strategy and dependence
Z Zhang - Journal of computational and applied mathematics, 2014 - Elsevier
Z Zhang
Journal of computational and applied mathematics, 2014•ElsevierIn this paper, we consider a Sparre Andersen risk model perturbed by a Brownian motion,
where the individual claim sizes are dependent on the interclaim times. We assume that
dividends are paid off under a threshold strategy. Integral and integro-differential equations
satisfied by the Gerber–Shiu functions are obtained, and a solution procedure is also
proposed.
where the individual claim sizes are dependent on the interclaim times. We assume that
dividends are paid off under a threshold strategy. Integral and integro-differential equations
satisfied by the Gerber–Shiu functions are obtained, and a solution procedure is also
proposed.
Abstract
In this paper, we consider a Sparre Andersen risk model perturbed by a Brownian motion, where the individual claim sizes are dependent on the interclaim times. We assume that dividends are paid off under a threshold strategy. Integral and integro-differential equations satisfied by the Gerber–Shiu functions are obtained, and a solution procedure is also proposed.
Elsevier
顯示最佳搜尋結果。 查看所有結果