The expected discounted penalty function for the perturbed compound Poisson risk process with constant interest

Guojing Wang and Rong Wu

Insurance: Mathematics and Economics, 2008, vol. 42, issue 1, 59-64

Abstract: In this paper, we consider the Gerber-Shiu expected discounted penalty function for the perturbed compound Poisson risk process with constant force of interest. We decompose the Gerber-Shiu function into two parts: the expected discounted penalty at ruin that is caused by a claim and the expected discounted penalty at ruin due to oscillation. We derive the integral equations and the integro-differential equations for them. By solving the integro-differential equations we get some closed form expressions for the expected discounted penalty functions under certain assumptions.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:42:y:2008:i:1:p:59-64

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