A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium |
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Authors: | Eric CK Cheung |
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Institution: | Department of Statistics and Actuarial Science, University of Hong Kong, Pokfulam, Hong Kong |
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Abstract: | In a general Sparre Andersen risk model with surplus-dependent premium income, the generalization of Gerber-Shiu function proposed by Cheung et al. (2010a) is studied. A general expression for such Gerber-Shiu function is derived, and it is shown that its determination reduces to the evaluation of a transition function which is independent of the penalty function. Properties of and explicit expressions for such a transition function are derived when the surplus process is subject to (i) constant premium; (ii) a threshold dividend strategy; or (iii) credit interest. Extension of the approach is discussed for an absolute ruin model with debit interest. |
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Keywords: | Generalized penalty function Gerber-Shiu function Sparre Andersen model Surplus-dependent premium rate Threshold dividend strategy Credit interest Absolute ruin |
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