| 常利率环境下带扰动的广义Erlang(n)风险过程中红利问题 |
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| 引用本文： | 王传玉,王健,胡莎娜.常利率环境下带扰动的广义Erlang(n)风险过程中红利问题[J].云南大学学报(自然科学版),2015,37(2):180-186. |
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| 作者姓名： | 王传玉 王健 胡莎娜 |
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| 作者单位： | 1.安徽工程大学 数理学院,安徽 芜湖 241000 |
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| 基金项目： | 国家自然科学基金(61203139);安徽省重点教研项目(2012jyxm277). |
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| 摘 要： | 在常利率环境条件下研究带扰动的广义Erlang(n)风险过程中保险公司的红利问题.在障碍策略下,得出其矩母函数所满足的积分-微分方程及方程的边界条件和红利所满足的积分-微分方程及方程的边界条件.最后,给出V1(u,b)的表达式并进行数值分析.
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| 关 键 词： | 常利率 带扰动的广义Erlang(n)风险模型 积分-微分方程 红利 障碍策略 |
| 收稿时间： | 2014-10-23 |
The dividends problems of ruin in a generalized Erlang(n) risk process perturbed by diffusion with interest |
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| WANG Chuan-yu,WANG Jian,HU Sha-na.The dividends problems of ruin in a generalized Erlang(n) risk process perturbed by diffusion with interest[J].Journal of Yunnan University(Natural Sciences),2015,37(2):180-186. |
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| Authors: | WANG Chuan-yu WANG Jian HU Sha-na |
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| Institution: | 1.College of Mathematics and Physics,Anhui Polytechnic University,Wuhu 241000,China |
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| Abstract: | We consider a generalized Erlang(n) risk process perturbed by diffusion with a constant interest under a dividend barrier strategy.Under such a strategy, Integro-differential equations with certain boundary conditions for the moment generating functions and moment functions of the present value of all dividends paid until ruin are derived.Some special cases for V1(u, b) are considered in details and a numerical solution. |
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| Keywords: | a constant interest the generalized Erlang(n) risk process perturbed by diffusion" target="_blank">n) risk process perturbed by diffusion'')" href="#">the generalized Erlang(n) risk process perturbed by diffusion the integro-differential equation dividend the barrier strategy |
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