A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium

In a general Sparre Andersen risk model with surplus-dependent premium income, the generalization of Gerber–Shiu function proposed by Cheung et al. (2010a) is studied. A general expression for such Gerber–Shiu function is derived, and it is shown that its determination reduces to the evaluation of a transition function which is independent of the penalty function. Properties of and explicit expressions for such a transition function are derived when the surplus process is subject to (i) constant premium; (ii) a threshold dividend strategy; or (iii) credit interest. Extension of the approach is discussed for an absolute ruin model with debit interest.