The Gerber-Shiu expected discounted penalty function under stochastic discount interest force governed by Markov switching process

被引：0
|
作者：
Wenguang Yu [1 ]
机构：
[1] Shandong Econ Univ, Sch Math & Stat, Jinan 250014, Peoples R China
来源：
PROCEEDINGS OF 2008 INTERNATIONAL CONFERENCE ON RISK AND RELIABILITY MANAGEMENT, VOLS I AND II | 2008年
关键词：
the Gerber-Shiu expected discounted penalty function; Markov switching process; stochastic interest; Laplace transform;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We study the Gerber-Shiu expected discounted penalty function in which the discount interest force process is driven by Markov switching process. Using backward differential argument, we derive the integro-differential equation satisfied by the Gerber-Shiu expected discounted penalty function when interest process in every state is perturbed by standard Wiener process and Poisson process.
引用
收藏
页码：820 / 823
页数：4
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