DocumentCode
2897928
Title
The Expected Discounted Penalty Function in the Erlang(2) Risk Process under Stochastic Interest Force
Author
Huang, Yujuan ; Yu, Wenguang
Author_Institution
Dept. of Math. & Phys., Shandong Jiaotong Univ., Jinan, China
Volume
4
fYear
2009
fDate
26-27 Dec. 2009
Firstpage
536
Lastpage
539
Abstract
In this paper, under the Erlang(2) risk process, we examine the expected discounted penalty function with stochastic interest force. We derive the expected discounted penalty function satisfied an integro-differential equation, and give its initial value, as well as its Laplace transform.
Keywords
Laplace transforms; insurance; integro-differential equations; risk management; stochastic processes; Erlang(2) risk process; Laplace transform; expected discounted penalty function; insurance company; integro-differential equation; stochastic interest force; Environmental economics; Industrial engineering; Information management; Innovation management; Integrodifferential equations; Laplace equations; Mathematics; Physics; Random variables; Stochastic processes; erlang(2) risk process; expected discounted penalty function; ruin probability;
fLanguage
English
Publisher
ieee
Conference_Titel
Information Management, Innovation Management and Industrial Engineering, 2009 International Conference on
Conference_Location
Xi´an
Print_ISBN
978-0-7695-3876-1
Type
conf
DOI
10.1109/ICIII.2009.588
Filename
5368327
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