Zhang, H.Y.; Zhou, M.; Guo, J.Y. - In: Statistics & Probability Letters 76 (2006) 12, pp. 1211-1218
The paper studies the expected value of a discounted penalty function for a classical risk model with a two-step premium rate. In this model, we firstly derive and solve an integro-differential equation for the Gerber-Shiu discounted penalty function, then use this result to obtain the...