On a Sparre Andersen risk model perturbed by a spectrally negative Lévy process

Zhimin Zhang*, Hailiang Yang, Hu Yang

*Corresponding author for this work

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Abstract

In this paper, we consider a Sparre Andersen risk model perturbed by a spectrally negative Lévy process (SNLP). Assuming that the interclaim times follow a Coxian distribution, we show that the Laplace transforms and defective renewal equations for the Gerber–Shiu functions can be obtained by employing the roots of a generalized Lundberg equation. When the SNLP is a combination of a Brownian motion and a compound Poisson process with exponential jumps, explicit expressions and asymptotic formulas for the Gerber–Shiu functions are obtained for exponential claim size distribution and heavy-tailed claim size distribution, respectively.
Original languageEnglish
Pages (from-to)213-239
JournalScandinavian Actuarial Journal
Volume2013
Issue number3
DOIs
Publication statusPublished - 2013
Externally publishedYes

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Zhang, Z., Yang, H., & Yang, H. (2013). On a Sparre Andersen risk model perturbed by a spectrally negative Lévy process. Scandinavian Actuarial Journal, 2013(3), 213-239. https://doi.org/10.1080/03461238.2011.599141