著者

Jirô Akahori Corina Constantinescu Kei Miyagi

出版者

The Japan Society for Industrial and Applied Mathematics

雑誌

JSIAM Letters (ISSN:18830609)

巻号頁・発行日

vol.12, pp.25-28, 2020 (Released:2020-05-24)

参考文献数

10

被引用文献数

2

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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.