The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier
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.
scientific article; zbMATH DE number 7016459