Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1152113 | Statistics & Probability Letters | 2012 | 9 Pages |
Abstract
This paper considers a Sparre Andersen model in which the inter-claim times have a phase-type distribution and the premium rate is a step function depending on the current surplus level. We derive the system of piecewise integro-differential equations for the Gerber–Shiu discounted penalty functions and obtain the closed form expressions of the Gerber–Shiu functions if the claim amount distribution belongs to the rational family. We provide a recursive approach to calculate Gerber–Shiu functions and present an example.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Wuyuan Jiang, Zhaojun Yang, Xinping Li,