复合马尔可夫二项模型的Gerber-Shiu折现罚金函数

The Gerber-Shiu Discounted Penalty Function in the Compound Markov Binomial Model

    摘要
  • 摘要: 本文研究复合马尔可夫二项模型的Gerber-Shiu折现罚金函数, 得到了有条件和无条件的Gerber-Shiu折现罚金函数所满足的瑕疵更新方程. 然后给出这些折现罚金函数的渐近表达式.

     

    Abstract: In this paper, we consider the compound Markov binomial model proposed by Cossette et al.\,(2003). The defective renewal equations for the conditional and unconditional Gerber-Shiu discounted penalty function are obtained. The asymptotic expressions for the Gerber-Shiu discounted penalty function are then provided.

     

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