| 一类风险模型的红利问题研究 |
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| 引用本文： | 解俊山,于吉亮.一类风险模型的红利问题研究[J].西南民族学院学报(自然科学版),2009,35(3):450-454. |
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| 作者姓名： | 解俊山 于吉亮 |
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| 作者单位： | [1]河南大学数学与信息科学学院,河南开封475000 [2]西北工业大学应用数学系,陕西西安710072 |
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| 基金项目： | 河南大学自然科学基金资助项（06YBZR029,06YBZR050）. |
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| 摘 要： | 研究了一类有界带干扰的Erlang（2）风险模型边界红利策略下的红利分布问题，得到了总红利贴现值的矩母函数及任意阶矩所满足的积分-微分方程，并在索赔额分布函数存在有理Laplace变换条件下对总红利贴现值的任意阶矩进行了分析求解．
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| 关 键 词： | 风险模型 Erlang(2)分布 红利贴现值 矩母函数 |
Study on the dividend payments for a risk model |
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| Institution: | XIE Jun-shan ,YU Ji-liang (1. School of Mathematics and Information Science, Henan University, Kaifeng 475000, E R. C. 2.Department of Applied Mathematics, Northwestern Polytechnical University, Xi＇an 710072, P. R. C.) |
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| Abstract: | The paper presents some results of the distribution of dividend payments until ruin under the Erlang（2） risk model perturbed by diffusion with a constant dividend barrier. Two integro-differential equations for the moment-generating function and arbitrary moments of the discounted sum of dividend payments until ruin are derived. And we solve the equation for arbitrary moments of it when the individual claim amounts have adistribution with rational Laplace transform. |
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| Keywords: | risk model Erlang（2） distribution present value of dividend payments moment-generating function |
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