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.
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页码：951 / 962
页数：12
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