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H. U. Gerber and B. Landry, “On the Discounted Penalty at Ruin in a Jump-Diffusion and the Perturbed Put Option,” Insurance: Mathematics and Economics, Vol. 22, 1998, pp. 263-276. doi:10.1016/S0167-6687(98)00014-6
has been cited by the following article:
TITLE: Some Results on a Double Compound Poisson-Geometric Risk Model with Interference
AUTHORS: Dezhi Yan
KEYWORDS: Ruin Probability; Compound Poisson-Geometric Risk Model; Martingale; Stopping Time; Moment Generating Function; Laplace Transform; Adjustment Coefficient Equation
JOURNAL NAME: Theoretical Economics Letters, Vol.2 No.1, February 23, 2012
ABSTRACT: In this paper, we study the actual operating of an insurance company with random income. A double compound Poisson-Geometric risk model with interference was established. By using the martingale method, the adjustment coefficient equation, the formula and the upper bound of ruin probability, the time to reach a given level in this new risk mo- del were obtained.
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