Abstract
In this paper, we consider a perturbed risk model with two independent classes of risks under multiple thresholds in which both of the two inter-claim times have phase-type distributions. We obtain the integro-differential equations with boundary conditions for the expected discounted penalty function. Explicit expressions are derived if the two classes claim amount distributions both belong to the rational family.
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Jiang, W., Yang, Z. The expected discounted penalty function for two classes of risk processes perturbed by diffusion with multiple thresholds. Indian J Pure Appl Math 45, 479–495 (2014). https://doi.org/10.1007/s13226-014-0076-5
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DOI: https://doi.org/10.1007/s13226-014-0076-5