| 阈红利策略下干扰复合Poisson模型中Gerber-Shiu函数的解析表示 |
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| 引用本文： | 高合理,张吉庆.阈红利策略下干扰复合Poisson模型中Gerber-Shiu函数的解析表示[J].滨州学院学报,2008,24(6). |
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| 作者姓名： | 高合理 张吉庆 |
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| 作者单位： | 滨州学院,数学与信息科学系,山东,滨州,256603 |
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| 摘 要： | 构建了带干扰的复合Poisson模型下阈红利策略模型,求出了此模型下期望折扣罚金(Gerber-Shiu)函数满足的积分-微分方程,并通过无分红模型下的Gerber-Shiu函数得到它的解析表达式.
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| 关 键 词： | 复合Poisson风险模型 阈红利策略 Gerber-Shiu函数 积分-微分方程 |
The Analytical Expressions for Gerber-Shiu Function of the Perturbed Compound Poisson Risk Model with a Threshold Dividend Strategy |
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| GAO He-li,ZHANG Ji-qing.The Analytical Expressions for Gerber-Shiu Function of the Perturbed Compound Poisson Risk Model with a Threshold Dividend Strategy[J].Journal of Binzhou University,2008,24(6). |
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| Authors: | GAO He-li ZHANG Ji-qing |
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| Abstract: | This paper considers the classical compound Poisson risk model perturbed by diffusion and with a constant dividend barrier.Integro-differential equations with certain boundary conditions for the Gerber-Shiu function are derived.Analytical expressions for the Gerber-Shiu discounted penalty functions are gained. |
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| Keywords: | compound Poisson risk model threshold dividend strategy Gerber-Shiu discounted penalty function integro-differential equation |
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