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On Gerber-Shiu discounted penalty function of the Sparre
Ying fang 1,Rong Wu 2 * #
1.Department of Mathematics , Nankai University
2.Department of Mathematics and LPMC, Nankai University
*Correspondence author
#Submitted by
Subject:
Funding: 教育部博士点基金，NNSF（No.20020055030，10571092）
Opened online:20 December 2005
Accepted by: none
Citation: Ying fang,Rong Wu.On Gerber-Shiu discounted penalty function of the Sparre[OL]. [20 December 2005] http://en.paper.edu.cn/en_releasepaper/content/4510
 
 
In this paper, we study the Gerber-Shiu discounted penalty function for the ordinary renewal risk model modified by the inclusion of interest and dividend on the surplus. We derive the integral equation for the Gerber-Shiu discounted penalty function and obtain its solution mainly by a technique used by Rong Wu et al.(2005). Then we derive explicit exponential type upper bounds for the ultimate ruin probability by recursive techniques. Applications of the results to the compound Poisson model are given.
Keywords:Gerber-Shiu discounted penalty function; Ruin probability; Upper
 
 
 

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