On the Gerber-Shiu discounted penalty function for a surplus process described by PDMPs

被引：0

作者：

He, Jing Min ^{[1
]}

Wu, Rong ^{[2
]}

机构：

[1] Tianjin Univ Technol, Coll Sci, Tianjin 300384, Peoples R China

[2] Nankai Univ, Sch Math Sci, Tianjin 300071, Peoples R China

来源：

ACTA MATHEMATICA SINICA-ENGLISH SERIES | 2010年 / 26卷 / 05期

关键词：

Gerber-Shiu discounted penalty function; piecewise deterministic Markov process; ultimate ruin probability; Volterra integral equation; INTEREST FORCE; RUIN; DEFICIT; TIME;

D O I：

10.1007/s10114-010-6573-5

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we investigate the Gerber-Shiu discounted penalty function for the surplus process described by a piecewise deterministic Markov process (PDMP).We derive an integral equation for the Gerber-Shiu discounted penalty function, and obtain the exact solution when the initial surplus is zero. Dickson formulae are also generalized to the present surplus process.

引用

页码：951 / 962

页数：12

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