On a generalized Gerber-Shiu function in a compound Poisson model perturbed by diffusion

Advances in Difference Equations

Chaolin Liu¹  Zhimin Zhang¹ 

[1] College of Mathematics and Statistics, Chongqing University, Chongqing, China

关键词: Generalized Gerber-Shiu function;    integral equations;    Laplace transform;    combination of exponentials;   

DOI  :  10.1186/s13662-015-0378-x

学科分类：数学（综合）

来源: SpringerOpen

【 摘 要 】

In the spirit of a publication by Cheung in 2013 we study generalized Gerber-Shiu functions in the compound Poisson risk model perturbed by diffusion. These generalized Gerber-Shiu functions can be used to analyze the moments of the total discounted claim costs until ruin. Integral equations for the generalized Gerber-Shiu functions are derived and a solution procedure is also provided. Some explicit results are given when the claim size density is a combination of exponentials, and some numerical results are also given.

【 授权许可】

CC BY