Integro-Differential Equations for a Discounted Penalty Function at Ruin in the Dynamic Process

机译：动态过程中破产罚金函数的积分微分方程

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摘要

A new Erlang risk dynamic process modified by the inclusion of interest on the surplus is proposed. Moreover, a integro-differential equation for the Gerber-Shiu discounted penalty function is derived.

机译：提出了一种新的Erlang风险动态过程，该过程通过将利息包括在盈余中进行修改。此外，推导了Gerber-Shiu折现罚函数的积分微分方程。

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来源
《ICIDSA'06;International conference on impulsive dynamical systems and applications》|2006年|1-4|
会议地点 Qingdao(CN);Qingdao(CN)
作者
Wu Li; rnMa Yuanyuan;
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作者单位

School of Management Shenyang University of Technology,P.R China,110023;

rnSchool of Management Shenyang University of Technology,P.R China,110023;

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中图分类无线电电子学、电信技术;电工技术;
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1. Discounted penalty function at Parisian ruin for Levy insurance risk process [J] . Loeffen R., Palmowski Z., Surya B. A. Insurance . 2018,第NOVa期

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2. EXPECTED DISCOUNTED PENALTY FUNCTION AT RUIN FOR RISK PROCESS PERTURBED BY DIFFUSION UNDER INTEREST FORCE [J] . Zhao Xia, Ouyang Zisheng Applied Mathematics. series B . 2005,第3期

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3. EXPECTED DISCOUNTED PENALTY FUNCTION AT RUIN FOR RISK PROCESS PERTURBED BY DIFFUSION UNDER INTEREST FORCE [J] . Zhao, Xia, Ouyang, 高校应用数学学报：英文版 . 2005,第003期

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4. Integro-Differential Equations for a Discounted Penalty Function at Ruin in the Dynamic Process [C] . International conference on impulsive dynamical systems and applications . 2006

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6. DYNAMIC PROGRAMMING APPLIED TO CONTROL PROCESSES GOVERNED BY GENERAL FUNCTIONAL EQUATIONS [O] . Richard Bellman, Robert Kalaba 1962

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7. Discounted penalty function at Parisian ruin for Lévy insurance risk process [O] . Loeffen, Ronnie, Palmowski, Z., Surya, B.A. 2018

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8. A New Derivation of the Integro-Differential Equations for Chandrasekhar's X and Y Functions [R] . Bellman, R., Kagiwada, H., Kalaba, R., 1964

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Integro-Differential Equations for a Discounted Penalty Function at Ruin in the Dynamic Process

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