A generalized penalty function in the Sparre-Andersen risk model with two-sided jumps

作者：Zhang, Zhimin^*; Yang, Hu

来源：Statistics & Probability Letters, 2010, 80(7-8): 597-607.

DOI：10.1016/j.spl.2009.12.016

In this paper, we consider a Sparre-Andersen risk model with two-sided jumps, where the downward jumps represent the claims as usual and the upward jumps are also allowed to explain random gains. A generalized discounted penalty function is studied by using random walk techniques and the renewal theory.

• 出版日期2010-4-1
• 单位重庆大学