On the expected discounted penalty function for a risk process with stochastic return on investments

DOI10.3770/J.ISSN:1000-341X.2010.02.014zbMATH Open1240.91047MaRDI QIDQ3014385FDOQ3014385

Authors: Jinghai Feng, Lixin Song, Lili Li 

Publication date: 19 July 2011

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zbMATH Keywords

Laplace transformruinintegro-differential equationexpected discounted penalty function

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• The risk model of the expected discounted penalty function with constant interest force
• Asymptotic estimates of the discounted penalty function in a perturbed risk model
• The expected discounted penalty function under a renewal risk model with stochastic income
• Title not available (Why is that?)
• The expected discounted penalty function for the perturbed compound Poisson risk process with constant interest
• Expected discounted penalty function at ruin for risk process perturbed by diffusion under interest force
• On the expected discounted penalty function for risk process with tax

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