带常利率和分红的更新风险模型中的惩罚函数

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.