The Expected Discounted Penalty Function under Stochastic Discount Interest Force Driven by Markov Process

Chun Ming Zhang

doi:10.4028/www.scientific.net/AMR.433-440.5035

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HomeAdvanced Materials ResearchAdvanced Materials Research Vols. 433-440The Expected Discounted Penalty Function under...

The Expected Discounted Penalty Function under Stochastic Discount Interest Force Driven by Markov Process

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.

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Periodical:

Advanced Materials Research (Volumes 433-440)

Pages:

5035-5039

DOI:

https://doi.org/10.4028/www.scientific.net/AMR.433-440.5035

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Online since:

January 2012

Authors:

Chun Ming Zhang

Keywords:

Expected Discounted Penalty Function, Laplace Transform, Markov Process, Poisson-Geometric Process, Standard Wiener Process

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References

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