On a perturbed Sparre Andersen risk model with threshold dividend strategy and dependence

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:255

Article

Zhang, Zhimin

关键词: Gerber-Shiu function;    Integral equation;    Integro-differential equation;    Threshold dividend strategy;    Dependence;   

DOI  :  10.1016/j.cam.2013.05.002

来源: Elsevier

【 摘 要 】

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. (C) 2013 Elsevier B.V. All rights reserved.

【 授权许可】

Free