The Gerber-Shiu Expected Discounted Penalty Function for Lévy Insurance Risk Processes
The Gerber-Shiu Expected Discounted Penalty Function for Lévy Insurance Risk Processes
摘要
In this paper,we study a general Lévy risk process with positive and negative jumps.A renewal equation and an infinite series expression are obtained for the expected discounted penalty function of this risk model.We also examine some asymptotic behaviors for the ruin probability as the initial capital tends to infinity.
基金
Supported by the National Natural Science Foundation of China (No.10771119)
the Research Fund forthe Doctoral Program of Higher Education of China (No.20093705110002)
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