The expectation of aggregate discounted dividends for a Sparre Anderson risk process perturbed by diffusion

On the expected discounted penalty funct

On the expected discounted penalty functions for two classes of risk processes under a threshold dividend strategy

✍ Zhaoyang Lu; Wei Xu; Decai Sun; Weiguo Han 📂 Article 📅 2009 🏛 Elsevier Science 🌐 English ⚖ 710 KB

In this paper, the discounted penalty (Gerber-Shiu) functions for a risk model involving two independent classes of insurance risks under a threshold dividend strategy are developed. We also assume that the two claim number processes are independent Poisson and generalized Erlang (2) processes, resp