Expected discounted penalty function at ruin for risk process perturbed by diffusion under interest force

被引：0

作者：

Xia Z. ^{[1
,2
,3
]}

Zisheng O. ^{[1
,2
,3
]}

机构：

[1] School of Statistics, Renmin University of China, Beijing

[2] Institute of Statistics and Actuary, Shandong Economic University, Jinan

[3] Dept. of Inform., Hunan Business College, Changsha

来源：

Applied Mathematics-A Journal of Chinese Universities | 2005年 / 20卷 / 3期

基金：

中国国家自然科学基金;

关键词：

Expected discounted penalty at ruin; Integro-differential equation; Risk process perturbed by diffusion under interest force; Twice continuous differentiability;

D O I：

10.1007/s11766-005-0004-x

中图分类号：

学科分类号：

摘要：

In this article, the risk process perturbed by diffusion under interest force is considered, the continuity and twice continuous differentiability for Φδ (u, w) are discussed, the Feller expression and the integro-differential equation satisfied by Φδ (u, w) are derived. Finally, the decomposition of Φδ (u, w) is discussed, and some properties of each decomposed part of Φδ (u, w) are obtained. The results can be reduced to some ones in Gerber and Landry's, Tsai and Willmot's, and Wang's works by letting parameter δ and (or) σ be zero. © 2005, Springer Verlag. All rights reserved.

引用

页码：289 / 296

页数：7

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