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Acta Mathematicae Applicatae Sinica, English Series

, Volume 19, Issue 3, pp 521–528 | Cite as

Distribution of Deficit at Ruin for a PDMP Insurance Risk Model

Original papers

Abstract

In this paper we consider the risk process described by a piecewise deterministic Markov processes (PDMP). We mainly discuss the distribution of the deficit at ruin for the risk process. We derive the integrodi differential equation satisfied by this distribution. We obtain the explicit expressions for it for certain choices of the claim amount distribution.

Keywords

Integro-differential equation risk process deficit at ruin survivor function 

2000 MR Subject Classification

62P06 60J25 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2003

Authors and Affiliations

  1. 1.Department of MathematicsSuzhou UniversitySuzhouChina
  2. 2.Department of MathematicsChangshu CollegeChangshuChina
  3. 3.Department of MathematicsNankai UniversityTianjinChina

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