Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4641835 | Journal of Computational and Applied Mathematics | 2009 | 13 Pages |
Abstract
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, piece-wise 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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Hu Yang, Zhimin Zhang,