The expected discounted penalty function for the perturbed compound Poisson risk process with constant interest
In this paper, we consider the Gerber-Shiu expected discounted penalty function for the perturbed compound Poisson risk process with constant force of interest. We decompose the Gerber-Shiu function into two parts: the expected discounted penalty at ruin that is caused by a claim and the expected discounted penalty at ruin due to oscillation. We derive the integral equations and the integro-differential equations for them. By solving the integro-differential equations we get some closed form expressions for the expected discounted penalty functions under certain assumptions.
Year of publication: |
2008
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Authors: | Wang, Guojing ; Wu, Rong |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 42.2008, 1, p. 59-64
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Publisher: |
Elsevier |
Saved in:
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