具有常数红利边界的两类索赔相关风险模型数
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引用本文:张 燕,张 瑰,毛 磊.具有常数红利边界的两类索赔相关风险模型数[J].经济数学,2013,(1):22-26
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作者单位
张 燕,张 瑰,毛 磊 (解放军理工大学 理学院, 江苏 南京 211101) 
中文摘要:研究常数红利边界下两类索赔相关的风险模型, 两类索赔计数过程分别为独立的Poisson过程和广义Erlang(2)过程. 利用分解Gerber-Shiu函数的方法,得到了Gerber-Shiu函数满足的积分-微分方程、边界条件、解析表达式及两类索赔额均服从指数分布时的破产概率表达式.
中文关键词:Poisson过程  广义Erlang(2)过程  Gerber-Shiu函数  红利边界  破产概率
 
Two Correlated Aggregate Claims Risk Model with a Constant Dividend Barrier
Abstract:A risk model with two dependent classes of insurance business was considered in the presence of a constant dividend barrier. Claim occurrence of both classes relates to Poisson and generalized Erlang(2) processes. Integro-differential equations and boundary conditions for the Gerber-Shiu expected discounted penalty functions and the explicit expression of the Gerber-Shiu expected discounted penalty functions were derived by decompounding the Gerber-Shiu function. In particular, explicit results of ruin probability were obtained when the claims from both classes were exponentially distributed.
keywords:compound poisson process  generalized Erlang(2) process  Gerber-Shiu discounted penalty function  dividend  ruin probability
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