Improvement to the Expected Discounted Penalty Function for a Classical Risk Model with a Threshold Dividend Strategy
2010 ◽
Vol 29-32
◽
pp. 1150-1155
Keyword(s):
In this paper, we study the expected discounted penalty function for a classical risk model in which a threshold dividend strategy is used for a classical risk model and the discount interest force process is not a constant, but a stochastic process driven by Poisson process and Wiener process. In this model, we derive and solve an integro-differential equation for the expected discounted penalty function.
2011 ◽
Vol 179-180
◽
pp. 1080-1085
The Expected Discounted Penalty Function with Random Income under Stochastic Discount Interest Force
2010 ◽
Vol 113-116
◽
pp. 378-381
2012 ◽
Vol 433-440
◽
pp. 5035-5039
2006 ◽
Vol 26
(3)
◽
pp. 509-518
◽
2011 ◽
Vol 235
(8)
◽
pp. 2392-2404
◽
2016 ◽
Vol 46
(4)
◽
pp. 1898-1915
◽
2005 ◽
Vol 20
(3)
◽
pp. 289-296
2009 ◽
Vol 46
(2)
◽
pp. 521-541
◽