Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1144600 | Journal of the Korean Statistical Society | 2014 | 14 Pages |
Abstract
In this paper, we consider a Sparre Andersen risk model perturbed by a Brownian motion, where the inter-claim time and individual claim size follow some bivariate distribution. Assume that a barrier dividend strategy is applied to the surplus process, so that dividends are paid out whenever the surplus level attains a barrier bb. Integral equations and integro-differential equations satisfied by the Gerber–Shiu discounted penalty functions and the expected discounted dividend payments are derived, and solutions are also given for some special cases.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Zhimin Zhang, Xiu Wu, Hu Yang,