Zhang Yuanyuan, Wang Wensheng. The Perturbed Compound Poisson Risk Model with Constant Interest[J]. Chinese Journal of Applied Probability and Statistics, 2015, 31(4): 375-383.
Citation:
Zhang Yuanyuan, Wang Wensheng. The Perturbed Compound Poisson Risk Model with Constant Interest[J]. Chinese Journal of Applied Probability and Statistics, 2015, 31(4): 375-383.
Zhang Yuanyuan, Wang Wensheng. The Perturbed Compound Poisson Risk Model with Constant Interest[J]. Chinese Journal of Applied Probability and Statistics, 2015, 31(4): 375-383.
Citation:
Zhang Yuanyuan, Wang Wensheng. The Perturbed Compound Poisson Risk Model with Constant Interest[J]. Chinese Journal of Applied Probability and Statistics, 2015, 31(4): 375-383.
The Perturbed Compound Poisson Risk Model with Constant Interest
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.