The Expected Discounted Penalty Function for Poisson-Geometric Risk Model Perturbed by Diffusion

摘要：

　　We consider a Poisson-Geometric risk model with perturbation,in which the time interval of the occurrence of claims keeps to the compound Poisson-Geometric distribution.By conditioning on the occurrence of claim in an infinitesimal time 0,t,we obtain the Gerber-Shiu discounted penalty function satisfying integro-differential equations and derive its Laplace transforms.

关键词： Poisson-Geometric risk model Expected discounted penalty function Integro-differential equation

作者: Li Jinzhi Liu Haiying

作者单位: School of Science,Minzu University of China,Beijing,China,100081 Law & Politics School of Ocean University of China,Qingdao,Shandong,China,266100

会议类型: 国际会议

会议名称: the 5th (2013)International Conference on Financial Risk and Corporate Finance Management(第五届(2013)金融风险与公司金融国际研讨会)

会议地点: 大连

会议语种:英文

页码: 692-695

在线出版日期: 2013-06-29（万方平台首次上网日期，不代表论文的发表时间）