The Markov Risk Model under Stochastic Discount Interest Force

Abstract:

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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.

Info:

Periodical:

Advanced Materials Research (Volumes 179-180)

Edited by:

Garry Zhu

Pages:

1080-1085

DOI:

10.4028/www.scientific.net/AMR.179-180.1080

Citation:

Y. J. Huang and C. M. Zhang, "The Markov Risk Model under Stochastic Discount Interest Force", Advanced Materials Research, Vols. 179-180, pp. 1080-1085, 2011

Online since:

January 2011

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Price:

$35.00

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