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On the Gerber-Shiu discounted penalty function for a surplus process described by PDMPs |
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| Authors: | Jing Min He Rong Wu |
| Institution: | (1) Shanghai, China;(2) Hong Kong, China;(3) Jinan, China |
| Abstract: | In this paper, we investigate the Gerber-Shiu discounted penalty function for the surplus process described by a piecewise deterministic Markov process (PDMP).We derive an integral equation for the Gerber-Shiu discounted penalty function, and obtain the exact solution when the initial surplus is zero. Dickson formulae are also generalized to the present surplus process. |
| Keywords: | Gerber-Shiu discounted penalty function piecewise deterministic Markov process ulti- mate ruin probability Volterra integral equation |
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