A Note on a Generalized Discounted Penalty Function in a Sparre Andersen Risk Model Perturbed by Diffusion

Abstract

We consider a Sparre Andersen risk model perturbed by diffusion where the interclaim times are generalized Erlang(n) distribution. Generalized discounted penalty functions incorporating the maximum surplus before ruin are studied. We derive the integrodifferential equations and give the solutions for the generalized discounted penalty functions.