| 一类具有边界分红策略的相关风险模型 |
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| 引用本文： | 赵翔华.一类具有边界分红策略的相关风险模型[J].曲阜师范大学学报,2010,36(1):1-5. |
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| 作者姓名： | 赵翔华 |
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| 作者单位： | 曲阜师范大学数学科学学院,山东省曲阜市273165 |
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| 摘 要： | 考虑了一类带有边界分红策略的相关风险过程,得到了其分红总量折现期望和分红总量的矩母函数满足的积分-微分方程及其边值条件,并研究了索赔量服从指数分布时积分-微分方程的解.
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| 关 键 词： | 相关性 边界分红策略 分红总量折现值 |
A Dependence Risk Model with Dividend Barrier |
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| ZHAOXiang-hua.A Dependence Risk Model with Dividend Barrier[J].Journal of Qufu Normal University(Natural Science),2010,36(1):1-5. |
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| Authors: | ZHAOXiang-hua |
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| Institution: | ZHAO+Xiang-hua(School+of+Mathematical+Sciencies,Qufu+Normal+University,273165,Qufu,Sh,ong,PRC) |
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| Abstract: | In this paper,some results on the dividend payments prior to ruin in a risk model with dependence between claim sizes and claim intervals are obtained.A system of integro-differential equations with boundary conditions satisfied by the expectation and moment generating function of present value of the discounted dividends until ruin is derived.In exponential case,the solution of the system of integro-differential equations is given. |
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| Keywords: | dependence dividend barrier strategy present value of dividend payments |
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