Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077592 | Insurance: Mathematics and Economics | 2007 | 9 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Kam C. Yuen, Guojing Wang, Wai K. Li,