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《Journal of Shaanxi University of Technology(Natural Science Edition)》 2016-06
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Expected discounted penalty function for a class of Omega models

ZHOU Ying;WANG Xiu-lian;College of Mathematical Science,Tianjin Normal University;  
On the basis of the classical risk model,this paper considers the expected discounted penalty function according to the company's surplus plus or minus charge the premium. Firstly,we obtain the integral differential equation for the expected discounted penalty function of bankruptcy by the law of total probability. Secondly,the differential equation for the expected discounted penalty function in the case of exponential claim is given. Finally,choosing three common bankruptcy rate functions in the penalty function as exponential function,we have derived the explicit expressions of the expected discounted penalty function by changing differential equation to Kummer function.
【Fund】: 国家自然科学基金资助项目(11401436);; 天津师范大学博士基金资助项目(52XB1204)
【CateGory Index】: F224;F840.4
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