The Application of the Extended Generator in Deriving the Integro-Differential Equation Satisfied by the Expected Discounted Penalty Function

摘要

By using the extended generator technique??Ca new approach of deriving the (impulse) integro-differential equation satisfied by the expected discounted penalty function for PDMPs was derived??Cand this approach improves the method of solving the expected discounted penalty function used by Gerber , Shui and other people before.