| 对偶风险模型中的随机观察 |
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| 引用本文： | 刘风云,陈旭.对偶风险模型中的随机观察[J].吉首大学学报(自然科学版),2013,34(1):16-20. |
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| 作者姓名： | 刘风云 陈旭 |
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| 作者单位： | (湖南师范大学数学与计算机科学学院,湖南 长沙 410081) |
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| 基金项目： | 国家自然科学基金资助项目(11171101;10871064) |
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| 摘 要： | 研究了随机观察在对偶风险模型中的应用.当罚金函数仅依赖于破产赤字ω(x1,x2)=ω(x2) 时，导出Gerber-shiu期望折现罚金函数 mδ(u) 所满足的微积分方程，并给出了当收益额的密度函数服从指数分布和ω(x)=e-r2x 时，得到mδ(u)的显示解.
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| 关 键 词： | 对偶模型 随机观察 折罚函数 微积分方程 |
Dual Risk Model with Random Observation |
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| LIU Feng-yun
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CHEN Xu.Dual Risk Model with Random Observation[J].Journal of Jishou University(Natural Science Edition),2013,34(1):16-20. |
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| Authors: | LIU Feng-yun CHEN Xu |
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| Affiliation: | (College of Mathematics and Computer Science,Hunan Normal University,Changsha 410081,China) |
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| Abstract: | A dual risk model for the surplus process where the process can only be observed at random observation times is considered.Tthe Gerbershiu expected discounted penalty function mδ(u) which satisfies the integro-differential equations is derived.Moreover,when the individual gains size distribution is exponential f(x)=ve-vx and penalty function ω(x)=e-r2x,the explicit expressions for mδ(u) are obtained. |
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| Keywords: | dual model random observation the expected discounted penalty function integro-differential equation |
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