Abstract
In this article, the risk process perturbed by diffusion under interest force is considered, the continuity and twice continuous differentiability for Ф δ(u,w) are discussed, the Feller expression and the integro-differential equation satisfied by Ф δ(u,w) are derived. Finally, the decomposition of Ф δ(u,w) is discussed, and some properties of each decomposed part of Ф δ(u,w) are obtained. The results can be reduced to some ones in Gerber and Landry's, Tsai and Willmot's, and Wang's works by letting parameter δ and (or) σ be zero.
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Supported by the National Natural Science Foundation of China (10471076), National Planning Project of Social Science of China (04BTJ010), the Key Project of Chinese Ministry of Education (104053), Shangdong Foundation of Natural Science (Y2004A05) and Shandong Planning Project of Social Science (04BJJ31).
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Xia, Z., Zisheng, O. Expected discounted penalty function at ruin for risk process perturbed by diffusion under interest force. Appl. Math. Chin. Univ. 20, 289–296 (2005). https://doi.org/10.1007/s11766-005-0004-x
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DOI: https://doi.org/10.1007/s11766-005-0004-x