In this paper, we investigate the Gerber-Shiu discounted penalty function for the surplus process described by a piecewise deterministic Markov process （PDMP）. We derive an integral equation for the Gerber-Shiu disc...In this paper, we investigate the Gerber-Shiu discounted penalty function for the surplus process described by a piecewise deterministic Markov process （PDMP）. We derive an integral equation for the Gerber-Shiu discounted penalty function, and obtain the exact solution when the initial surplus is zero. Dickson formulae are also generalized to the present surplus process.展开更多
In this paper,we consider the Brownian motion risk model with interest.The Laplace transform of the first exit time from the upper barrier before hitting the lower barrier is obtained.Using the obtained result and exp...In this paper,we consider the Brownian motion risk model with interest.The Laplace transform of the first exit time from the upper barrier before hitting the lower barrier is obtained.Using the obtained result and exploiting the limitation idea,we derive the Laplace transform of total duration of negative surplus.展开更多
基金Supported by National Natural Science Foundation of China (Grant Nos. 10926161, 10901086, 10871102)National Basic Research Program of China (973 Program) 2007CB814905the Research Fund for the Doctorial Program of Higher Education
文摘In this paper, we investigate the Gerber-Shiu discounted penalty function for the surplus process described by a piecewise deterministic Markov process （PDMP）. We derive an integral equation for the Gerber-Shiu discounted penalty function, and obtain the exact solution when the initial surplus is zero. Dickson formulae are also generalized to the present surplus process.
基金Supported by National Natural Science Foundation of China(Grant Nos.11226204,10901086 and 11226203)the Doctoral Fund Program of Tianjin Normal University(Grant No.52XB1204)
文摘In this paper,we consider the Brownian motion risk model with interest.The Laplace transform of the first exit time from the upper barrier before hitting the lower barrier is obtained.Using the obtained result and exploiting the limitation idea,we derive the Laplace transform of total duration of negative surplus.
