Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076444 | Insurance: Mathematics and Economics | 2015 | 18 Pages |
Abstract
We consider a compound Poisson risk model with interest. The Gerber-Shiu discounted penalty function is modified with an additional penalty for reaching a level above the initial capital. We show that the problem can be split into two independent problems; an original Gerber-Shiu function and a first passage problem. We also consider the case of negative interest. Finally, we apply the results to a model considered by Embrechts and Schmidli (1994).
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Hanspeter Schmidli,