| 带干扰的两类理赔更新风险模型的Gerber-Shiu函数 |
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| 引用本文： | 王杰,程建华. 带干扰的两类理赔更新风险模型的Gerber-Shiu函数[J]. 吉林大学学报(理学版), 2012, 50(5): 917-923 |
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| 作者姓名： | 王杰 程建华 |
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| 作者单位： | 1. 吉林师范大学 课程与教学论研究所, 吉林 四平 136000,2. 吉林大学 ,数学学院, 长春 130012 |
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| 基金项目： | 国家自然科学基金(批准号:10971081;J0730101);吉林大学基本科研业务费项目(批准号:201100011) |
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| 摘 要： | 考虑一类带干扰的两类理赔更新风险模型, 假设两类理赔的到来过程都是以时间间隔为Phase分布的更新过程, 得到了Gerber Shiu函数满足的积分微分方程及其解析解, 并且当两类理赔额的密度函数均属于有理分布族时, 给出了一些具体表达式.
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| 关 键 词： | 两类理赔 带干扰的风险模型 Gerber Shiu函数 积分微分方程 |
| 收稿时间： | 2011-12-26 |
Gerber-Shiu Functions for a Perturbed Renewal Risk Model with Two Classes of Claims |
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| WANG Jie,CHENG Jian-hua. Gerber-Shiu Functions for a Perturbed Renewal Risk Model with Two Classes of Claims[J]. Journal of Jilin University: Sci Ed, 2012, 50(5): 917-923 |
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| Authors: | WANG Jie CHENG Jian-hua |
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| Affiliation: | 1. Institute of Courses and Teaching Theory Research, Jilin Normal University, Siping 136000, Jilin Province, China;2. College of Mathematics, Jilin University, Changchun 130012, China |
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| Abstract: | We considered a perturbed renewal risk model with two classes of claims,for which both the two claim number processes are renewal processes with Phase inter-claim time.We derived the integro-differential equations of the Gerber-Shiu functions and obtained the analytical solutions,and when the densities of the two classes of claims belong to rational family,we got some explicit expressions.Finally,we gave a numerical example to illustrate theses results. |
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| Keywords: | two classes of claims perturbed risk model Gerber-Shiu function integro-differential equations |
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