On the Gerber-Shiu Discounted Penalty Function for a Surplus Process Described by PDMPs

被引：0
|
作者：
Jing Min HE College of Science
机构：
来源：
Acta Mathematica Sinica,English Series | 2010年 / 26卷 / 05期
基金：
中国国家自然科学基金;
关键词：
Gerber-Shiu discounted penalty function; piecewise deterministic Markov process; ultimate ruin probability; Volterra integral equation;
D O I：
暂无
中图分类号：
O211.62 [马尔可夫过程];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, we investigate the Gerber-Shiu discounted penalty function for the surplusprocess described by a piecewise deterministic Markov process (PDMP). We derive an integral equationfor the Gerber-Shiu discounted penalty function, and obtain the exact solution when the initial surplusis zero. Dickson formulae are also generalized to the present surplus process.
引用
收藏
页码：951 / 962
页数：12
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