The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier
type: Item
instance of: scholarly article
title: The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier
zbMATH Open document ID: 1407.91139
DOI: 10.1155/2014/450149
author: Yujuan Huang
author: Wenguang Yu
published in: Mathematical Problems in Engineering
publication date: 2019-02-08T00:00:00Z
review text: Summary: This paper constructs a Sparre Andersen risk model with a constant dividend barrier in which the claim interarrival distribution is a mixture of an exponential distribution and an \(\mathrm{Erlang}(n)\) distribution. We derive the integro-differential equation satisfied by the Gerber-Shiu discounted penalty function of this risk model. Finally, we provide a numerical example.
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 7016459
Wikidata QID: Q59067274
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2014/450149
OpenAlex ID: W2104764344
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description: scientific article; zbMATH DE number 7016459