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阈红利策略下复合Poisson风险模型的绝对破产

发表时间:2010-07-15  浏览量:1405  下载量:420
全部作者: 李文婷,牛明飞
作者单位: 兰州大学数学与统计学院
摘 要: 考虑带有阈红利策略的复合Poisson风险模型的破产问题,得到了Gerber�Shiu折现罚金函数所满足的积分微分方程和在破产前红利折现期望所满足的积分微分方程。最后,推导出当理赔额服从指数分布时,期望折现罚金函数所满足的具体表达式,并给出这一情况下绝对破产概率ψ(u; b)所满足的微分积分方程。
关 键 词: 保险数学;绝对破产;Gerber�Shiu折现罚金函数;阈红利策略;积分微分方程;红利折现期望
Title: Absolute ruin in the compound Poisson risk model with threshold dividend strategy
Author: LI Wenting, NIU Mingfei
Organization: School of Mathematics and Statistics, Lanzhou University
Abstract: The paper investigated the absolute ruin problem in the compound Poisson risk model with threshold dividend strategy. The integro�differential equations for the expected discounted value of all dividends until absolute ruin and expected discounted penalty function are first derived. In the case of exponential claim amounts, the explicit expressions for expected discounted penalty function m(u; b) and absolute ruin probability ψ(u; b) are obtained.
Key words: insurance mathematics; absolute ruin; Gerber�Shiu discounted penalty function; threshold dividend strategy; integro�differential equation; the expected discounted dividend payments
发表期数: 2010年7月第13期
引用格式: 李文婷,牛明飞. 阈红利策略下复合Poisson风险模型的绝对破产[J]. 中国科技论文在线精品论文,2010,3(13):1355-1364.
 
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