The Gerber-Shiu discounted penalty function for classical risk model with a two-step premium rate

The paper studies the expected value of a discounted penalty function for a classical risk model with a two-step premium rate. In this model, we firstly derive and solve an integro-differential equation for the Gerber-Shiu discounted penalty function, then use this result to obtain the expressions of ruin probability and the joint distribution of the surplus immediately before ruin and the deficit at ruin.

MoreLess

Year of publication:	2006
Authors:	Zhang, H.Y. ; Zhou, M. ; Guo, J.Y.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 76.2006, 12, p. 1211-1218
Publisher:	Elsevier
Keywords:	Discounted penalty function Ruin probability Integro-differential equation Surplus before ruin Deficit at ruin

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005254402