کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1154725 958406 2006 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The Gerber–Shiu discounted penalty function for classical risk model with a two-step premium rate
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
The Gerber–Shiu discounted penalty function for classical risk model with a two-step premium rate
چکیده انگلیسی

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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 76, Issue 12, 1 July 2006, Pages 1211–1218
نویسندگان
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