The Expected Discounted Penalty Function with Random Income under Stochastic Discount Interest Force

Abstract:

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We study the delayed risk model with random premium income. The premium process is not a linear function of time in contrast with the classical model, but a Poisson process which is also independent of the claim process. We shall consider the case where the discount interest process is no longer a constant in comparison with the classical expected discounted penalty function, but a stochastic interest driven by Poisson process and Wiener process. The expected discounted penalty function in the delayed renewal model is expressed in terms of the corresponding Gerber-Shiu function in the ordinary renewal model. The obtained results can be viewed as the discrete analogy of the classical Sparre-Anderson risk model.

Info:

Periodical:

Advanced Materials Research (Volumes 113-116)

Edited by:

Zhenyu Du and X.B Sun

Pages:

378-381

DOI:

10.4028/www.scientific.net/AMR.113-116.378

Citation:

W. G. Yu and Z. Liu, "The Expected Discounted Penalty Function with Random Income under Stochastic Discount Interest Force", Advanced Materials Research, Vols. 113-116, pp. 378-381, 2010

Online since:

June 2010

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$35.00

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