Supported by National Basic Research Program of China (973 Program) 2007CB814905, National Natural Science Foundation of China (Grant No. 10871102), and the Keygrant Project of Chinese Ministry of Education (Grant No. 309009)
In this paper, we investigate a Sparre Andersen risk model perturbed by diffusion with phase-type inter-claim times. We mainly study the distribution of maximum surplus prior to ruin. A matrix form of integro-differen...