In this paper, the expected discounted penalty function is considered in the risk process with the time-correlated claims, that is, every main claim can cause a by-claim but the occurrence of the by-claim may be delay...In this paper, the expected discounted penalty function is considered in the risk process with the time-correlated claims, that is, every main claim can cause a by-claim but the occurrence of the by-claim may be delayed. By the renewal argument, it is shown that the expected value satisfies a system of integro-differential equations. Moreover, the explicit expression for the Laplace transform of the expected value is derived by means of Rouche＇s theorem. A numerical example is also given for illustrating the result.展开更多
基金Project supported by the National Natural Science Foundation of China(Grant Nos.10301011,70271069)
文摘In this paper, the expected discounted penalty function is considered in the risk process with the time-correlated claims, that is, every main claim can cause a by-claim but the occurrence of the by-claim may be delayed. By the renewal argument, it is shown that the expected value satisfies a system of integro-differential equations. Moreover, the explicit expression for the Laplace transform of the expected value is derived by means of Rouche＇s theorem. A numerical example is also given for illustrating the result.
