Title :
The Gerber-Shiu discounted penalty function for classical risk model with a linear dividend barrier
Author :
Ma, Xuesi ; Liu, Zhongqiang
Author_Institution :
Sch. of Mathematic & Inf. Sci., Henna Polytech. Univ., Jiaozuo, China
Abstract :
In this paper, we consider the classical risk model with a linear dividend barrier. In this model, we study the Gerber-Shiu discounted penalty function. Two integro-differential equations for the Gerber-Shiu discounted penalty function are derived. The analytic results of discounted penalty function are obtained.
Keywords :
insurance; integro-differential equations; risk analysis; stochastic processes; Gerber-Shiu discounted penalty function; Poisson risk model; classical risk model; insurance; integro-differential equation; linear dividend barrier; Biological system modeling; Compounds; Differential equations; Equations; Insurance; Loading; Mathematical model; Integro-different equation; discounted penalty function; linear dividend barrier; risk model;
Conference_Titel :
Consumer Electronics, Communications and Networks (CECNet), 2011 International Conference on
Conference_Location :
XianNing
Print_ISBN :
978-1-61284-458-9
DOI :
10.1109/CECNET.2011.5768411
