| 带借贷利率和流动资本的复合Poisson风险过程的Gerber-Shiu函数 |
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| 引用本文： | 黄飞菲,明瑞星,黄龙生.带借贷利率和流动资本的复合Poisson风险过程的Gerber-Shiu函数[J].江西师范大学学报(自然科学版),2011,35(4):379-383. |
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| 作者姓名： | 黄飞菲 明瑞星 黄龙生 |
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| 作者单位： | 1. 江西师范大学数学与信息科学学院,江西南昌,330022
2. 浙江农林大学理学院,浙江临安,311300 |
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| 基金项目： | 国家自然科学基金(43007201); 江西省自然科学基金(2008GQS0035); 浙江省教育厅科研(Y200803009)资助项目 |
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| 摘 要： | 研究了带借贷利率和流动资本的复合Poisson风险模型的Gerber-Shiu函数,导出了Gerber-Shiu函数满足的微分积分方程并得出了它的通解,并在索赔额大小服从指数分布的情形下得出了Gerber-Shiu函数的具体表达式.
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| 关 键 词： | 流动资本 绝对破产 微分积分方程 Gerber-Shiu函数 |
The Gerber-Shiu Function of the Compound Poisson Risk Model Absolute Ruin with Debit Interest and Liquid Reserves |
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| HUANG Fei-fei,MING Rui-xing,HUANG Long-sheng.The Gerber-Shiu Function of the Compound Poisson Risk Model Absolute Ruin with Debit Interest and Liquid Reserves[J].Journal of Jiangxi Normal University (Natural Sciences Edition),2011,35(4):379-383. |
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| Authors: | HUANG Fei-fei MING Rui-xing HUANG Long-sheng |
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| Institution: | HUANG Fei-fei1,MING Rui-xing1*,HUANG Long-sheng2 |
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| Abstract: | The compound Poisson risk model with debit interest and liquid reserves is considered.The inte-gro-differential equations and general solution for the expected discounted penalty(Gerber-Shiu) functions is derived.Moreover,the explicit expressions of the Gerber-Shiu function is derived when the claims are exponentially distributed. |
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| Keywords: | liquid reserves absolute ruin integro-differential equation Gerber-Shiu function |
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