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.