论文信息 - The expected discounted penalty at ruin in the risk process with random income

The expected discounted penalty at ruin in the risk process with random income

We extend the classical risk model to the case where the premium income process, based on a Poisson process, is no longer a linear function. We examine the expected discounted value of a penalty at ruin, which is considered as a function of the initial surplus. We derive a defective renewal equation satisfied by the discounted penalty function. The solution of this renewal equation is then given. The associated compound geometric distribution is also studied.

Zhen-hua Bao | Z. Bao

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