EXPECTED DISCOUNTED PENALTY FUNCTION AT RUIN FOR RISK PROCESS PERTURBED BY DIFFUSION UNDER INTEREST FORCE  

作　　者：Zhao Xia Ouyang Zisheng 

机构地区：[1]School of Statistics, Renmin University of China, Beijing 100872 [2]Institute of Statistics and Actuary,Shandong Economic University,Jinan 250014,China. [3]Dept. of Inform. ,Hunan Business College ,Changsha 410205 ,China.

出　　处：《Applied Mathematics(A Journal of Chinese Universities)》2005年第3期289-296,共8页高校应用数学学报（英文版）（B辑）

基　　金：SupportedbytheNationalNaturalScienceFoundationofChina(10471076),NationalPlanningProjectofSocialScienceofChina(04BTJ010),theKeyProjectofChineseMinistryofEducation(104053),ShangdongFoundationofNaturalScience(Y2004A05)andShandongPlanningProjectofSocialScien

摘　　要：In this article, the risk process perturbed by diffusion under interest force is considered, the continuity and twice continuous differentiability for Фδ（u,w） are discussed,the Feller expression and the integro-differential equation satisfied by Фδ （u ,w） are derived. Finally, the decomposition of Фδ（u,w） is discussed, and some properties of each decomposed part of Фδ（u,w） are obtained. The results can be reduced to some ones in Gerber and Landry＇s,Tsai and Willmot＇s, and Wang＇s works by letting parameter δ and （or） a be zero.In this article, the risk process perturbed by diffusion under interest force is considered, the continuity and twice continuous differentiability for Фδ（u,w） are discussed,the Feller expression and the integro-differential equation satisfied by Фδ （u ,w） are derived. Finally, the decomposition of Фδ（u,w） is discussed, and some properties of each decomposed part of Фδ（u,w） are obtained. The results can be reduced to some ones in Gerber and Landry＇s,Tsai and Willmot＇s, and Wang＇s works by letting parameter δ and （or） a be zero.

关 键 词：risk process perturbed by diffusion under interest force expected discounted penalty at ruin twice continuous differentiability integro-differential equation. 

分 类 号：O242[理学—计算数学]