On a Risk Model with Dependence between Claim Sizes and Claim Intervals under a Linear Dividend Barrier and Stochastic Interest

摘要：

The risk model with interclaim-dependent claim sizes is studied in the presence of a linear dividend barrier and stochastic interest. An integrodifferential equation for some Gerber-Shiu discounted penalty functions is derived. We show that its solution can be expressed as the solution to the Gerber-Shiu discounted penalty function in the same risk model with the absence of a barrier and a combination of two linearly independent solutions to the associated homogeneous integro-differential equation.

关键词： Risk model Interclaim-dependent claim sizes Linear dividend barrier

作者: Tingshan Song

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: 2010 International Conference on Advanced Mechanical Engineering(2010年先进机械工程国际学术会议 AME 2010)

会议地点: 洛阳

会议语种:英文

页码: 598-602

在线出版日期: 2010-09-04（万方平台首次上网日期，不代表论文的发表时间）