کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1156000 | 958792 | 2009 | 23 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On differentiability of ruin functions under Markov-modulated models
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This paper analyzes the continuity and differentiability of several classes of ruin functions under Markov-modulated insurance risk models with a barrier and threshold dividend strategy, respectively. Many ruin related functions in the literature, such as the expectation and the Laplace transform of the Gerber–Shiu discounted penalty function at ruin, of the total discounted dividends until ruin, and of the time-integrated discounted penalty and/or reward function of the risk process, etc, are special cases of the functions considered in this paper. Continuity and differentiability of these functions in the corresponding dual models are also studied.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 119, Issue 5, May 2009, Pages 1673–1695
Journal: Stochastic Processes and their Applications - Volume 119, Issue 5, May 2009, Pages 1673–1695
نویسندگان
Jinxia Zhu, Hailiang Yang,