Omega model for a jump-diffusion process with a two-step premium rate
In this talk, a jump-diffusion Omega model with a two-step premium rate is studied. In this model, the surplus process is a perturbation of a compound Poisson process by a Brown motion. Firstly, using the strong Markov property and Taylor formula, the integro-differential equations for the Gerber-Shiu expected discounted penalty function and the bankruptcy probability are derived. Secondly, for a constant bankruptcy rate function, the renewal equations satisfied by the Gerber-Shiu expected discounted penalty function are obtained, and by iteration, the closed-form solutions of the function are also given. Further, the explicit solutions of the Gerber-Shiu expected discounted penalty function are obtained when the individual claim size is subject to exponential distribution. Finally, a numerical example is presented to illustrate some properties of the model.