| 马氏调制费率的带干扰风险模型 |
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| 引用本文：孙歆， 段誉，方世祖.马氏调制费率的带干扰风险模型[J].经济数学,2012,(1):100-105 |
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| 中文摘要:考虑了一类具有马氏调制的带干扰连续时间风险模型,得到了该模型下其条件Gerber-Shiu折现罚金函数所满足的积分方程,Laplace变换及渐近解.在两状态情形下,当索赔额的分布为有理数情况时得到了条件Gerber-Shiu折现罚金函数的具体表达式并给出了数值例子 |
| 中文关键词:马氏调制 Gerber-shiu折现罚金函数 Laplace变换 |
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| A Markov-Modulated Risk Model Perturbed by Diffusion |
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| Abstract:This paper studied a Markov-modulated premium income risk model perturbed by diffusion under the condition of continuous time. The integral representations for the conditional Gerber-Shiu discounted penalty functions and the Laplace transforms of them were derived, and the asymptotic estimates for the conditional Gerber-Shiu discounted penalty functions were also derived. Under the two states model, when the claim size distribution is from the rational family,the explicit solution for the conditional Gerber-Shiu discounted penalty functions was derived. As an application,a number example was given. |
| keywords:Markov-modulated Gerber-Shiu discounted penalty function Laplace transform |
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