文章基本信息

标题：On a generalized Gerber-Shiu function in a compound Poisson model perturbed by diffusion
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作者：Chaolin Liu ; Zhimin Zhang
期刊名称：Advances in Difference Equations
印刷版ISSN：1687-1839
电子版ISSN：1687-1847
出版年度：2015
卷号：2015
期号：1
页码：34
DOI：10.1186/s13662-015-0378-x
语种：English
出版社：Hindawi Publishing Corporation
摘要：In the spirit of a publication by Cheung in 2013 we study generalized Gerber-Shiu functions in the compound Poisson risk model perturbed by diffusion. These generalized Gerber-Shiu functions can be used to analyze the moments of the total discounted claim costs until ruin. Integral equations for the generalized Gerber-Shiu functions are derived and a solution procedure is also provided. Some explicit results are given when the claim size density is a combination of exponentials, and some numerical results are also given.
关键词：Generalized Gerber-Shiu function ; integral equations ; Laplace transform ; combination of exponentials