Articles
Itô calculus for Cramér-Lundberg model
2020 年 12 巻 p. 25-28
詳細
2020 年 12 巻 p. 25-28
In insurance mathematics, specifically in risk theory, mainly functional analytic techniques are used. In this paper, we give an alternative approach to deriving some well-known, basic, but important results on the classical collective risk model. Applying techniques based on Itô's calculus, we derive an integro-differential equation for the Gerber-Shiu function, under the Cramér-Lundberg model.
