The risk model of the expected discounted penalty function with constant interest force

被引：0

作者：

Liu Li ^{[1
]}

Mao Shisong

机构：

[1] Wuhan Univ, Sch Math & Stat, Wuhan 430072, Peoples R China

[2] Hubei Univ, Sch Math & Comp Sci, Wuhan 430062, Peoples R China

[3] E China Normal Univ, Dept Stat, Shanghai 200062, Peoples R China

来源：

ACTA MATHEMATICA SCIENTIA | 2006年 / 26卷 / 03期

关键词：

ruin; penalty function; integral equation; surplus prior to ruin; deficit at ruin;

D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this article, the expected discounted penalty function Phi(delta,alpha)(u) with constant interest delta and "discounted factor" exp(-alpha T-delta) is considered. As a result, the integral equation of Phi(delta,alpha)(u) is derived and an exact solution for Phi(delta,alpha)(0) is found. The relation between the joint density of the surplus immediately prior to ruin, and the deficit at ruin and the density of the surplus immediately prior to ruin is then obtained based on analytical methods.

引用

页码：509 / 518

页数：10

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