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

✍ Scribed by Hu Yang; Zhimin Zhang

Publisher: Elsevier Science
Year: 2009
Tongue: English
Weight: 758 KB
Volume: 232
Category: Article
ISSN: 0377-0427
DOI: 10.1016/j.cam.2009.06.032

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✦ Synopsis

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, piecewise 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.

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