The expected discounted penalty function with random income under stochastic discount interest force
We study the delayed risk model with random premium income.The premium process is not a linear function of time in contrast with the classical model,but a Poisson process which is also independent of the claim process.We shall consider the case where the discount interest process is no longer a constant in comparison with the classical expected discounted penalty function,but a stochastic interest driven by Poisson process and Wiener process.The expected discounted penalty function in the delayed renewal model is expressed in terms of the corresponding Gerber-Shiu function in the ordinary renewal model.The obtained results can be viewed as the discrete analogy of the classical Sparre-Anderson risk model.
the expected discounted penalty function ruin probability delayed renewal risk process Sparre-Anderson model stochastic interest process
Wenguang Yu Zhi Liu
School of Statistics and Mathematics,Shandong Economic University,Jinan 250014,China Department of Information Engineering,Shandong Trade Unions College,Jinan 250100,China
国际会议
哈尔滨
英文
378-381
2010-07-24（万方平台首次上网日期，不代表论文的发表时间）