The Gerber-Shiu Expected Discounted Penalty Function for Levy Insurance Risk Processes

被引：11
|
作者：
Zhao, Xiang-hua [1 ]
Yin, Chuan-cun [1 ]
机构：
[1] Qufu Normal Univ, Sch Math Sci, Qufu 273165, Peoples R China
来源：
ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES | 2010年 / 26卷 / 04期
基金：
中国国家自然科学基金; 高等学校博士学科点专项科研基金;
关键词：
Levy process; Gerber-Shiu expected discounted penalty function; renewal equation; time of ruin; RUIN PROBABILITIES; OVERSHOOTS;
D O I：
10.1007/s10255-010-0025-y
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, we study a general Levy risk process with positive and negative jumps. A renewal equation and an infinite series expression are obtained for the expected discounted penalty function of this risk model. We also examine some asymptotic behaviors for the ruin probability as the initial capital tends to infinity.
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页码：575 / 586
页数：12
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