On a Perturbed Risk Model with Time-Dependent Claim Sizes
Longfei Wei,
Jia Hao,
Shiyu Song
et al.
Abstract:We consider a risk model perturbed by a Brownian motion, where the individual claim sizes are dependent on the inter-claim times. We study the Gerber–Shiu functions when ruin is due to a claim or the jump-diffusion process. Integro-differential equations and Laplace transforms satisfied by the Gerber–Shiu functions are obtained. Then, it is shown that the expected discounted penalty functions satisfy defective renewal equations. Explicit expressions can be obtained for exponential claim sizes. Finally, a numer… Show more
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