CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST 2015, 31(4) 375-383 DOI:      ISSN: 1001-4268 CN: 31-1256

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The Perturbed Compound Poisson Risk Model with Constant Interest

Zhang Yuanyuan, Wang Wensheng

School of Business, Jiangsu University of Technology; Department of Mathematics, Hangzhou Normal University

Abstract��

This study has considered the compound Poisson risk model
perturbed by diffusion with constant interest and obtained an integral-differential
equation for the Gerber-Shiu discounted penalty function. Asymptotic expression for
the ultimate ruin probability also derived across the study.

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Corresponding Authors: Zhang Yuanyuan
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