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

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.

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Year of publication:	2010
Authors:	Zhang, Zhimin ; Yang, Hu
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 80.2010, 7-8, p. 597-607
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008551126