Abstract
This paper investigates the penalty function under the condition that the insurance company is allowed to invest certain amount of money in some stock market and the remaining reserve in the bond with constant interest force. Through the properties of exponential Lévy process and discrete embedded method, the integral equations for penalty function is derived under the assumption that the stock price follows exponential Lévy process. The method for explicitly computing the ruin quantities is obtained.
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Wu, Z., Ding-cheng, W., Yong, Z. (2010). The Study on the Penalty Function of the Insurance Company When the Stock Price Follows Exponential Lévy Process. In: Elleithy, K. (eds) Advanced Techniques in Computing Sciences and Software Engineering. Springer, Dordrecht. https://doi.org/10.1007/978-90-481-3660-5_32
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DOI: https://doi.org/10.1007/978-90-481-3660-5_32
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Online ISBN: 978-90-481-3660-5
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