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
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;
Conference_Titel :
Information Management, Innovation Management and Industrial Engineering, 2009 International Conference on
Conference_Location :
Xi´an
Print_ISBN :
978-0-7695-3876-1
DOI :
10.1109/ICIII.2009.588
