The Markov Risk Model under Stochastic Discount Interest Force

Abstract:

We investigate the expected discounted penalty function in which the discount interest process is driven by markov process. We obtain the integro-differential equation satisfied by the expected discounted penalty function when interest process is perturbed by standard Wiener process and Poisson-Geometric process. A system of Laplace transforms of the expected discounted penalty function, given the initial environment state, is established from a system of integro-differential equations. One example is given with claim sizes that have exponential distributions.

• Periodical: Advanced Materials Research (Volumes 179-180)
• Pages: 1080-1085
• DOI: https://doi.org/10.4028/www.scientific.net/AMR.179-180.1080
• Online since: January 2011
• Authors: Yu Juan Huang, Chun Ming Zhang
• Keywords: Expected Discounted Penalty Function, Laplace Transform, Markov Process, Poisson-Geometric Process, Standard Wiener Process

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