The expected discounted penalty function for two classes of risk processes perturbed by diffusion with multiple thresholds

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• 作者：Wuyuan Jiang (1)
  Zhaojun Yang (2)
  
• 关键词：Two classes of risk processes ; perturbed process ; Gerber ; Shiu penalty function ; multiple thresholds ; phase ; type distribution
• 刊名：Indian Journal of Pure and Applied Mathematics
• 出版年：2014
• 出版时间：August 2014
• 年：2014
• 卷：45
• 期：4
• 页码：479-495
• 全文大小：2,613 KB
• 参考文献：1. S. Asmussen, / Ruin probabilities, World Scientific, Singapore (2000).
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• 作者单位：Wuyuan Jiang (1)
  Zhaojun Yang (2)
  
  1. Department of Mathematics, Hunan Institute of Science and Technology, Yueyang, 414006, China
  2. School of Finance and Statistics, Hunan University, Changsha, 410079, China
  
• ISSN：0975-7465

文摘

In this paper, we consider a perturbed risk model with two independent classes of risks under multiple thresholds in which both of the two inter-claim times have phase-type distributions. We obtain the integro-differential equations with boundary conditions for the expected discounted penalty function. Explicit expressions are derived if the two classes claim amount distributions both belong to the rational family.