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
收藏
页码：521 / 528
页数：8
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