2010•Journal of MathematicsRequires access

GERBER-SHIU DISCOUNTED PENALTY FUNCTION FOR RISK MODEL WITH PREMIUM RATE DEPENDING ON TIME

Yihe Wang

Abstract

In this article, we consider the risk model in which the premium rate is assumed to depend upon time. Under this condition, we consider the Gerber-Shiu discounted penalty function for this risk model. By using diffential argument, an integro-differential equation for Gerber-Shiu discounted penalty function is given, and is also solved in some special cases.

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Key concepts: Penalty method, Mathematics, Risk model, Function (biology), Applied mathematics, Mathematical optimization, Evolutionary biology, Biology