The Expected Discounted Penalty Function For Poisson-Geometric Risk Model Perturbed By Diffusion

Li Jinzhi, Liu Haiying

PROCEEDINGS OF THE 5TH (2013) INTERNATIONAL CONFERENCE ON FINANCIAL RISK AND CORPORATE FINANCE MANAGEMENT, VOLS I AND II（2013）

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摘要

We consider a Poisson-Geometric risk model with perturbation, in which the time interval of the occurrence of claims keeps to the compound Poisson-Geometric distribution. By conditioning on the occurrence of claim in an infinitesimal time [0,t], we obtain the Gerber-Shiu discounted penalty function satisfying integro-differential equations and derive its Laplace transforms.

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关键词

Poisson-Geometric risk model, Expected discounted penalty function, Integro-differential equation

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