EXPECTED DISCOUNTED PENALTY FUNCTION OF ERLANG(2) RISK MODEL WITH CONSTANT INTEREST

被引：0

作者：

Nie Gaoqin Liu Cihua Xu Lixia Dept.of Math.

机构：

来源：

AppliedMathematicsAJournalofChineseUniversities(SeriesB) | 2006年 / 03期

基金：

中国国家自然科学基金;

关键词：

expected discounted penalty function; Erlang(2)process; Laplace transform; interest rate; integro-differential equation; defective renewal equation;

D O I：

暂无

中图分类号：

O211.67 [期望与预测];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The purpose of this paper is to consider the expected value of a discounted penalty due at ruin in the Erlang(2)risk process under constant interest force.An integro-differential equation satisfied by the expected value and a second-order differential equation for the Laplace transform of the expected value are derived.In addition,the paper will present the recursive algorithm for the joint distribution of the surplus immediately before ruin and the deficit at ruin. Finally,by the differential equation,the defective renewal equation and the explicit expression for the expected value are given in the interest-free case.

引用

页码：243 / 251

页数：9

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