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

页码：820 / 823

页数：4

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