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The expected discounted penalty function for two classes of risk processes perturbed by diffusion with multiple thresholds

Author

Listed:
  • Wuyuan Jiang

    (Hunan Institute of Science and Technology)

  • Zhaojun Yang

    (Hunan University)

Abstract

In this paper, we consider a perturbed risk model with two independent classes of risks under multiple thresholds in which both of the two inter-claim times have phase-type distributions. We obtain the integro-differential equations with boundary conditions for the expected discounted penalty function. Explicit expressions are derived if the two classes claim amount distributions both belong to the rational family.

Suggested Citation

  • Wuyuan Jiang & Zhaojun Yang, 2014. "The expected discounted penalty function for two classes of risk processes perturbed by diffusion with multiple thresholds," Indian Journal of Pure and Applied Mathematics, Springer, vol. 45(4), pages 479-495, August.
    • Handle: RePEc:spr:indpam:v:45:y:2014:i:4:d:10.1007_s13226-014-0076-5
    DOI: 10.1007/s13226-014-0076-5
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    References listed on IDEAS

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    1. Li, Shuanming & Lu, Yi, 2005. "On the expected discounted penalty functions for two classes of risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 36(2), pages 179-193, April.
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    8. Jiang, Wuyuan & Yang, Zhaojun & Li, Xinping, 2012. "The discounted penalty function with multi-layer dividend strategy in the phase-type risk model," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1358-1366.
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