کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077592 | 1374138 | 2007 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
In this paper, we consider the classical surplus process with interest and a constant dividend barrier. Under constant interest, we derive an integro-differential equation for the Gerber-Shiu expected discounted penalty function. Following an idea of Lin, Willmot and Drekic [Lin, X.S., Willmot, G.E., Drekic, S., 2003. The classical risk model with a constant dividend barrier: Analysis of the Gerber-Shiu discounted penalty function. Insurance: Math. Econom. 33, 551-566], we obtain the solution to the integro-differential equation which is in the form of an infinite series. In some special cases with exponential claims, we are able to find closed-form expressions for the Gerber-Shiu expected discounted penalty function. Finally, we extend the integro-differential equation to the case where the surplus is invested in an investment portfolio with stochastic return on investments.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 40, Issue 1, January 2007, Pages 104-112
Journal: Insurance: Mathematics and Economics - Volume 40, Issue 1, January 2007, Pages 104-112
نویسندگان
Kam C. Yuen, Guojing Wang, Wai K. Li,