On the expected discounted penalty functions for two classes of risk processes

DOI10.1016/j.insmatheco.2004.12.002zbMath1122.91040OpenAlexW2026970197MaRDI QIDQ2485543

Shuanming Li, Yi Lu

Publication date: 5 August 2005

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.12.002

zbMATH Keywords

Wiener processIntegro-differential equationsCompound Poisson processMartingalePenalty functionsGeneralized Erlang risk processGeneralized Lundberg's fundamental equation

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Integro-ordinary differential equations (45J05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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Cites Work

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