| 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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| 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 |
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| Two Correlated Aggregate Claims Risk Model with a Constant Dividend Barrier |
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| 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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