Asymptotic Expressions of Discounted Penalty Function for Erlang(n) Risk Process Perturbed by Diffusion

摘要：

We are concerned with the asymptotic expressions of discounted penalty function for a generalized Erlang (n) risk process perturbed by diffusion when the claim size follows subexponential distribution We obtain the exact asymptotic expressions for the discounted penalty function caused by a claim, in two cases: and where denotes the interest force. In addition, it is shown that discounted penalty function caused by oscillation has no effect on the discounted penalty function caused by a claim when the initial reserve is sufficiently large and the claim size is subexponentially distributed..

关键词： Subexponential distribution Diffusion Discounted penalty function

作者: Zhenzhong ZHANG Jiankang ZHANG Jiezbong ZOU

作者单位: School of Mathematical Science and Computing Technology,Central South University,Changsha 410075,Chi Department of Economics,Carleton University,Ottawa K1S 5B6,Canada

会议类型: 国际会议

会议名称: 2008 International Conference on Risk and Relianility Management(2008风险与可靠性管理国际会议)

会议地点: 北京

会议语种:英文

页码: 327-330

在线出版日期: 2008-11-10（万方平台首次上网日期，不代表论文的发表时间）