EXPECTED DISCOUNTED PENALTY FUNCTION OF ERLANG(2) RISK MODEL WITH CONSTANT INTEREST

The purpose of this paper is to consider the expected value of a discounted penalty due at ruin in the Erlang（2） risk process under constant interest force. An integro-differential equation satisfied by the expected value and a second-order differential equation for the Laplace transform of the expected value are derived. In addition, the paper will present the recursive algorithm for the joint distribution of the surplus immediately before ruin and the deficit at ruin. Finally, by the differential equation, the defective renewal equation and the explicit expression for the expected value are given in the interest-free case.

On the Expected Discounted Penalty Function for a Risk Process with Stochastic Return on Investments

This paper considers the expected discounted penalty function Φ（u） for the perturbed compound Poisson risk model with stochastic return on investments. After presenting an integro-differential equation that the expected discounted penalty function satisfies, the paper derives the closed form solution by constructing an identical equation. The exact expression for Φ （0） is given using the Laplace transform technique when interest rate is constant. Applications of the results are given to the ruin probability and moments of the deficit at ruin.

On the Gerber-Shiu Discounted Penalty Function for a Surplus Process Described by PDMPs

In this paper, we investigate the Gerber-Shiu discounted penalty function for the surplus process described by a piecewise deterministic Markov process （PDMP）. We derive an integral equation for the Gerber-Shiu discounted penalty function, and obtain the exact solution when the initial surplus is zero. Dickson formulae are also generalized to the present surplus process.

A Joint Density Function in Phase-type(2) Risk Model

In this paper, we consider a Gerber-Shiu discounted penalty function in Sparre Andersen risk process in which claim inter-arrival times have a phase-type （2） distribution, a distribution with a density satisfying a second order linear differential equation. By conditioning on the time and the amount of the first claim, we derive a Laplace transform of the Gerber-Shiu discounted penalty function, and then we consider the joint density function of the surplus prior to ruin and the deficit at ruin and some ruin related problems. Finally, we give a numerical example to illustrate the application of the results.

The compound Poisson risk model with dependence under a multi-layer dividend strategy

In this paper, a compound Poisson risk model with time-dependent claims is studiedunder a multi-layer dividend strategy. A piecewise integro-differential equation for the Gerber- Shiu function is derived and solved. Asymptotic formulas of the ruin probability are obtained when the claim size distributions are heavy-tailed.

ON THE RENEWAL RISK MODEL WITH INTEREST AND DIVIDEND

We consider that the reserve of an insurance company follows a renewal risk process with interest and dividend. For this risk process, we derive integral equations and exact infinite series expressions for the Cerber-Shiu discounted penalty function. Then we give lower and upper bounds for the ruin probability. Finally, we present exact expressions for the ruin probability in a special case of renewal risk processes.

A Class of Delayed Renewal Risk Processes with a Threshold Dividend Strategy

This paper considers a class of delayed renewal risk processes with a threshold dividend strategy. The main result is an expression of the Gerber-Shiu expected discounted penalty function in the delayed renewal risk model in terms of the corresponding Cerber-Shiu function in the ordinary renewal model. Subsequently, this relationship is considered in more detail in both the stationary renewal risk model and the ruin probability.

Dividend-Reinsurance Strategy in the Sparre Andersen Model

In this paper, we introduce a reinsurance strategy into the Sparre Andersen risk model with a horizon dividend barrier, which is named dividend-reinsurance strategy. It is shown that the value function of the new strategy far exceeds that of the optimal barrier strategy （even that of the optimal dividend strategy）. Some results on the advantages of the new strategy are obtained, and the methods for computing the value functions are provided. Numerical illustrations for Erlang （2） and compound Poisson risk models are also given.

A Ruin Model with Compound Poisson Income and Dependence Between Claim Sizes and Claim Intervals

We consider a ruin model with random income and dependence between claim sizes and claim intervals. In this paper, we extend the determinate premium income into a compound Poisson process and assume that the distribution of the time between two claim occurrences depends on the previous claim size.Given the premium size is exponentially distributed, the（Gerber-Shiu） discounted penalty functions is derived.Finally, we consider a similar model.