XING Yongsheng, WU Rong. The Expected Valued of a Penalty Function for a PDMP Insurance Risk Model[J]. Chinese Journal of Applied Probability and Statistics, 2005, 21(4): 397-402.
Citation: XING Yongsheng, WU Rong. The Expected Valued of a Penalty Function for a PDMP Insurance Risk Model[J]. Chinese Journal of Applied Probability and Statistics, 2005, 21(4): 397-402.

The Expected Valued of a Penalty Function for a PDMP Insurance Risk Model

  • In this paper, we consider the risk process described by a piecewise deterministic Markov processes (PDMP). We mainly discuss the "penalty function" of this risk process. Using the integro-differential equation we established, we obtain the exact representation.
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