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

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