The Gerber-Shiu expected discounted penalty function under stochastic discount interest force governed by Markov switching process

摘要：

We study the Gerber-Shiu expected discounted penalty function in which the discount interest force process is driven by Markov switching process. Using backward differential argument, we derive the integro-differential equation satisfied by the Gerber-Shiu expected discounted penalty function when interest process in every state is perturbed by standard Wiener process and Poisson process.

关键词： the Gerber-Shiu expected discounted penalty function Markov switching process stochastic interest Laplace transform

作者: Wenguang YU

作者单位: School of Statistics and Mathematics,Shandong Economic University,Jinan 250014,China

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: 820-823

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）