Distribution of Deficit at Ruin for a PDMP Insurance Risk Model

被引：0

作者：

Guo-jing Wang

机构：

来源：

Acta Mathematicae Applicatae Sinica(English Series) | 2003年 / 03期

基金：

中国国家自然科学基金; 美国国家科学基金会;

关键词：

Integro-differential equation; risk process; deficit at ruin; survivor function;

D O I：

暂无

中图分类号：

F224 [经济数学方法];

学科分类号：

0701 ; 070104 ;

摘要：

In this paper we consider the risk process described by a piecewise deterministic Markov processes (PDMP). We; mainly discuss the distribution of the deficit at ruin for the risk process. We derive the integro-differential equation satisfied by this distribution. We obtain the explicit expressions for it, for certain choices of the claim amount distribution.

引用

页码：521 / 528

页数：8

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