(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.