| 红利边界下两类索赔相关风险模型的Gerber-Shiu函数 |
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| 引用本文： | 张燕.红利边界下两类索赔相关风险模型的Gerber-Shiu函数[J].科学技术与工程,2011(22). |
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| 作者姓名： | 张燕 |
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| 作者单位： | 解放军理工大学理学院数理系,南京,211101 |
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| 基金项目： | 解放军理工大学理学院青年科研基金 |
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| 摘 要： | 考虑具有常数红利边界的两类索赔相关风险模型的Gerber-Shiu函数. 两类索赔计数过程分别为独立的Poisson过程和广义Erlang(2)过程. 得到了Gerber-Shiu函数满足的积分-微分方程及边界条件，并给出了Gerber-Shiu函数的解析表达式.
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| 关 键 词： | Poisson过程 广义Erlang(2)过程 Gerber-Shiu函数 红利边界 |
| 收稿时间： | 4/20/2011 9:44:58 PM |
| 修稿时间： | 4/20/2011 9:44:58 PM |
Two correlated aggregate claims risk model with a constant dividend barrier |
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| zhangyan.Two correlated aggregate claims risk model with a constant dividend barrier[J].Science Technology and Engineering,2011(22). |
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| Authors: | zhangyan |
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| Institution: | ZHANG Yan,MAO Lei,KOU Bing-yu(Department of Applied Mathematics and Physics,PLA University of Science and Technology,Nanjing 211101,P.R.China) |
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| Abstract: | he Gerber-Shiu expected discounted penalty functions for a risk model with two dependent classes of insurance business is considered in the presence of a constant dividend barrier. Claim occurrence of both classes relate to Poisson and generalized Erlang(2) processes. Integro-differential equations with boundary conditions for the Gerber-Shiu expected discounted penalty functions and the explicit expression of the Gerber-Shiu expected discounted penalty functions are derived. |
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| Keywords: | Compound Poisson process Generalized Erlang(2) process Gerber-Shiu discounted penalty function Dividend |
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