| 一类带多重界比例分红的经典风险模型的期望罚金贴现函数 |
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| 引用本文： | 胡凤清,李学堃,张春生.一类带多重界比例分红的经典风险模型的期望罚金贴现函数[J].天津师范大学学报(自然科学版),2008,28(4):44-48. |
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| 作者姓名： | 胡凤清 李学堃 张春生 |
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| 作者单位： | 1. 天津工业大学理学院,天津,300160
2. 南开大学数学学院,天津,300071 |
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| 基金项目： | 国家重点基础研究发展计划(973计划)
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| 摘 要： | 研究一类带多重界比例分红策略的经典风险模型的期望罚金贴现函数，得到了期望罚金贴现函数满足的微分一积分方程及其满足的更新方程，并给出了期望罚金贴现函数的显式表达式．
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| 关 键 词： | 期望罚金贴现函数 微分一积分方程 多重界比例分红 复合泊松模型 |
The Gerber-Shiu discounted penalty function of the compound Poisson risk model with multiple thresholds |
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| HU Fengqing,LI Xuekun,ZHANG Chunsheng.The Gerber-Shiu discounted penalty function of the compound Poisson risk model with multiple thresholds[J].Journal of Tianjin Normal University(Natural Science Edition),2008,28(4):44-48. |
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| Authors: | HU Fengqing LI Xuekun ZHANG Chunsheng |
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| Institution: | HU Fengqing , LI Xuekun , ZHANG Chunsheng (1. School of Science, Tianjin Polytechnic University, Tianjin 300160, China; 2. School of Mathematical Science, Nankai University, Tianjin 300071, China) |
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| Abstract: | The expected discounted penalty function of the compound Poisson risk model with multi-thresholds is considered. An integro-differential equation is derived for the Gerber-Shiu discounted penalty function, and also the renewal equations of the expected discounted penalty function are presented. The plicit expression of the GerberShiu discounted penalty function is obtained. |
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| Keywords: | expected discounted penalty function integro-differential equation multiple thresholds strategy com pound Poisson model |
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