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The Gerber-Shiu Discounted Penalty Function of Sparre Andersen Risk Model with a Constant Dividend Barrier

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  • Yujuan Huang
  • Wenguang Yu

Abstract

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 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.

Suggested Citation

  • Yujuan Huang & Wenguang Yu, 2014. "The Gerber-Shiu Discounted Penalty Function of Sparre Andersen Risk Model with a Constant Dividend Barrier," Mathematical Problems in Engineering, Hindawi, vol. 2014, pages 1-7, July.
    • Handle: RePEc:hin:jnlmpe:450149
    DOI: 10.1155/2014/450149
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    Cited by:

    1. He, Yue & Kawai, Reiichiro & Shimizu, Yasutaka & Yamazaki, Kazutoshi, 2023. "The Gerber-Shiu discounted penalty function: A review from practical perspectives," Insurance: Mathematics and Economics, Elsevier, vol. 109(C), pages 1-28.
    2. Wenguang Yu & Peng Guo & Qi Wang & Guofeng Guan & Qing Yang & Yujuan Huang & Xinliang Yu & Boyi Jin & Chaoran Cui, 2020. "On a Periodic Capital Injection and Barrier Dividend Strategy in the Compound Poisson Risk Model," Mathematics, MDPI, vol. 8(4), pages 1-21, April.

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