THE EXPECTED DISCOUNTED PENALTY FUNCTION FOR TWO CLASSES OF RISK PROCESSES PERTURBED BY DIFFUSION WITH MULTIPLE THRESHOLDS

被引：2

作者：

Jiang, Wuyuan ^{[1
]}

Yang, Zhaojun ^{[2
]}

机构：

[1] Hunan Inst Sci & Technol, Dept Math, Yueyang 414006, Peoples R China

[2] Hunan Univ, Sch Finance & Stat, Changsha 410079, Hunan, Peoples R China

来源：

INDIAN JOURNAL OF PURE & APPLIED MATHEMATICS | 2014年 / 45卷 / 04期

基金：

中国博士后科学基金; 中国国家自然科学基金;

关键词：

Two classes of risk processes; perturbed process; Gerber-Shiu penalty function; multiple thresholds; phase-type distribution; MODEL; TIME; RUIN;

D O I：

10.1007/s13226-014-0076-5

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this paper, we consider a perturbed risk model with two independent classes of risks under multiple thresholds in which both of the two inter-claim times have phase-type distributions. We obtain the integro-differential equations with boundary conditions for the expected discounted penalty function. Explicit expressions are derived if the two classes claim amount distributions both belong to the rational family.

引用

页码：479 / 495

页数：17

共 50 条

[31] On the Expected Discounted Penalty Function in a Delayed-claims Risk Model
Meng, Hui
Wang, Guo-jing
ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2012, 28 (02): : 215 - 224
[32] Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance
Chi, Yichun
INSURANCE MATHEMATICS & ECONOMICS, 2010, 46 (02): : 385 - 396
[33] Analysis of the expected discounted penalty function for insurance risk models.
Lin, SX
INSURANCE MATHEMATICS & ECONOMICS, 2003, 33 (02): : 425 - 426
[34] On the Discounted Penalty Function in a Perturbed Erlang Renewal Risk Model With Dependence
Franck Adékambi
Essodina Takouda
Methodology and Computing in Applied Probability, 2022, 24 : 481 - 513
[35] The expected discounted penalty function under a risk model with stochastic income
Labbe, Chantal
Sendova, Kristina P.
APPLIED MATHEMATICS AND COMPUTATION, 2009, 215 (05) : 1852 - 1867
[36] The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier
Yuen, Kam C.
Wang, Guojing
Li, Wai K.
INSURANCE MATHEMATICS & ECONOMICS, 2007, 40 (01): : 104 - 112
[37] On the Expected Discounted Penalty Function for Levy Risk Processes, Jose Garrido and Manuel Morales, October 2006
Zhou, Xiaowen
Garrido, Jose
Morales, Manuel
NORTH AMERICAN ACTUARIAL JOURNAL, 2007, 11 (02) : 153 - 153
[38] Authors' Reply: The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion - Discussion by Bangwon Ko
不详
NORTH AMERICAN ACTUARIAL JOURNAL, 2007, 11 (02) : 151 - +
[39] Expected discounted penalty function and asymptotic depend of the severity of ruin and surplus prior to ruin for two-sided Levy risk processes
Martin-Gonzalez, Ehyter M.
Kolkovska, Ekaterina T.
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2023, 52 (23) : 8566 - 8583
[40] Expected discounted penalty function of erlang(2) risk model with constant interest
Nie G.
Liu C.
Xu L.
Applied Mathematics-A Journal of Chinese Universities, 2006, 21 (3) : 243 - 251

← 1 2 3 4 5 →