Sun Chuanguang, Wang Chunwei. The Gerber-Shiu Function in a Risk Model Perturbed by Diffusion[J]. Chinese Journal of Applied Probability and Statistics, 2010, 26(6): 577-588.
Citation:
Sun Chuanguang, Wang Chunwei. The Gerber-Shiu Function in a Risk Model Perturbed by Diffusion[J]. Chinese Journal of Applied Probability and Statistics, 2010, 26(6): 577-588.
Sun Chuanguang, Wang Chunwei. The Gerber-Shiu Function in a Risk Model Perturbed by Diffusion[J]. Chinese Journal of Applied Probability and Statistics, 2010, 26(6): 577-588.
Citation:
Sun Chuanguang, Wang Chunwei. The Gerber-Shiu Function in a Risk Model Perturbed by Diffusion[J]. Chinese Journal of Applied Probability and Statistics, 2010, 26(6): 577-588.
The Gerber-Shiu Function in a Risk Model Perturbed by Diffusion
In this paper we consider a risk process perturbed by diffusion and obtain the integro-differential equation for the Gerber-Shiu expected discounted penalty function. Furthermore, we prove that the Gerber-Shiu function satisfies a certain renewal equation in the case of the generalized Erlang(2)
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