Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
6422831 | Journal of Computational and Applied Mathematics | 2014 | 22 Pages |
Abstract
In this paper, we consider a Sparre Andersen risk model perturbed by a Brownian motion, where the individual claim sizes are dependent on the interclaim times. We assume that dividends are paid off under a threshold strategy. Integral and integro-differential equations satisfied by the Gerber-Shiu functions are obtained, and a solution procedure is also proposed.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Zhimin Zhang,