刘莉; 茆诗松
Liu Li; Mao Shisong
摘要:
In this article, the expected discounted penalty function $\Phi_{\delta,\alpha}(u)$ with constant interest δ and ``discounted factor" exp(-αTδ) is considered. As a result, the integral equation of $\Phi_{\delta,\alpha}(u)$ is derived and an exact solution for $\Phi_{\delta,\alpha}(0)$ is found. The relation between the joint density of the surplus immediately prior to ruin, and the deficit at ruin and the density of the surplus immediately prior to ruin is then obtained based on analytical methods.
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