On a generalization of the expected discounted penalty function to include deficits at and beyond ruin (Q487623): Difference between revisions

The study develops the concept of expected discounted penalty function (EDPF), that is, the first time the reserve level of a company becomes negative; in particular, the EDPF is extended to include the sequence of successive record minima reached by a claim after ruin. On the basis of the new concept of extended EDPF, the author presents results for first-passage times of a subordinator risk process perturbed by a Brownian motion under change of measure. Then, the expression of the EDPF in terms of the convolution product of densities is provided. Moreover, the EDPF is considered to obtain the expected discounted value of capital injection (EDVCI) for a subordinator risk model perturbed by a Brownian motion.