The Gerber-Shiu Discounted Penalty Function with Stochastic Interest Force under a Two-Step Premium Rate Risk Model

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

540

Lastpage

543

Abstract

In this paper, we consider the Gerber-Shiu discounted penalty function for a classical risk model with a two-step premium rate and a linear dividend barrier. An integro-differential equation for the Gerber-Shiu discounted penalty function under stochastic interest force is derived and solved, then the Lundberg fundamental equation is given also.

Keywords

integro-differential equations; risk analysis; stochastic processes; Gerber-Shiu discounted penalty function; Lundberg fundamental equation; integro-differential equation; linear dividend barrier; stochastic interest force; two-step premium rate risk model; Industrial engineering; Information management; Innovation management; Integrodifferential equations; Mathematical model; Mathematics; Physics; Poisson equations; Probability; Stochastic processes; Gerber-Shiu expected discounted penalty function; classical compound Poisson risk model; dividend barrier; ruin probability; two-step premium;

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.2009.589

Filename

5368328