Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4633812 | Applied Mathematics and Computation | 2008 | 11 Pages |
Abstract
In this paper, we consider a perturbed risk process (in which the inter-occurrence times are generalized Erlang(n)-distributed) compounded by a geometric Brownian motion. Integro-differential equations with certain boundary conditions for the moment-generating function and the mth moment of the present value of all dividends until ruin are derived. We also derive integro-differential equations with boundary conditions for the Gerber-Shiu function. Some special cases are considered in details.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Heli Gao, Chuancun Yin,