Title :
The Gerber-Shiu discounted penalty function with a threshold stratregy for classical risk model perturbed by diffusion
Author :
Ma, Xuesi ; Cheng, Junxiang
Author_Institution :
Sch. of Mathematic & Inf. Sci., Henna Polytech. Univ., Jiaozuo, China
Abstract :
In this paper, the classical risk model perturbed by diffusion is considered in presence of a constant dividend barrier. We study the Gerber-Shiu discounted penalty function. Two integro-differential equations for the Gerber-Shiu discounted penalty function are derived and solved. The analytic results of discounted penalty function are obtained.
Keywords :
insurance; integro-differential equations; perturbation techniques; Gerber-Shiu discounted penalty function; classical risk model perturbation; constant dividend barrier; integrodifferential equations; threshold strategy; Compounds; Equations; Information science; Insurance; Loading; Mathematical model; Security; Integro-different equation; dicounted penalty function; diffusion; dividend barrier; risk model;
Conference_Titel :
Artificial Intelligence, Management Science and Electronic Commerce (AIMSEC), 2011 2nd International Conference on
Conference_Location :
Deng Leng
Print_ISBN :
978-1-4577-0535-9
DOI :
10.1109/AIMSEC.2011.6011310
