The Gerber-Shiu discounted penalty function for classical risk model with a linear dividend barrier

descriptionPublicationkeyboard_double_arrow_right Article 01 Apr 2011Publisher:IEEEJournal:2011 International Conference on Consumer Electronics, Communications and Networks (CECNet)

Authors: Xuesi Ma; Zhongqiang Liu;

doi: 10.1109/cecnet.2011.5768411

The Gerber-Shiu discounted penalty function for classical risk model with a linear dividend barrier

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Abstract

In this paper, we consider the classical risk model with a linear dividend barrier. In this model, we study the Gerber-Shiu discounted penalty function. Two integro-differential equations for the Gerber-Shiu discounted penalty function are derived. The analytic results of discounted penalty function are obtained.

Related Organizations

Henan Polytechnic University
China (People's Republic of)

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