On the Expected Discounted Penalty Function for a Risk Process with Stochastic Return on Investment

• 作 者: Li Li LI Jing Hal FENG Li Xin
• 机 构: SchoolofMathematicalSciences
• 出 处: 数学研究与评论：英文版
• 发表日期: 2010年2期
• 关键词: 罚金折现期望 投资回报 风险过程 随机 LAPLACE 积分微分方程 破产概率 风险模型 expected discounted penalty functio
• 基金项目: Supported by Key Project of National Social Science Fund （Grant No. 06＆ZD039） and ＂Mathematics＋X＂ Project of DUT.

This paper considers the expected discounted penalty function Φ(u) for the perturbed compound Poisson risk model with stochastic return on investments. After presenting an integro-differential equation that the expected discounted penalty function satisfi