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一类带多重界比例分红的经典风险模型的期望罚金贴现函数
The Gerber-Shiu discounted penalty function of the compound Poisson risk model with multiple thresholds
【摘要】 研究一类带多重界比例分红策略的经典风险模型的期望罚金贴现函数,得到了期望罚金贴现函数满足的微分-积分方程及其满足的更新方程,并给出了期望罚金贴现函数的显式表达式.
【Abstract】 The expected discounted penalty function of the compound Poisson risk model with multi-thresholds is considered. An integro-differential equation is derived for the Gerber-Shiu discounted penalty function,and also the renewal equations of the expected discounted penalty function are presented. The plicit expression of the Gerber-Shiu discounted penalty function is obtained.
【关键词】 期望罚金贴现函数；
微分-积分方程；
多重界比例分红；
复合泊松模型；
【Key words】 expected discounted penalty function； integro-differential equation； multiple thresholds strategy； compound Poisson model；
【Key words】 expected discounted penalty function； integro-differential equation； multiple thresholds strategy； compound Poisson model；
【基金】 973国家基础研究项目(2007CB814905)
- 【文献出处】 天津师范大学学报(自然科学版) ,Journal of Tianjin Normal University(Natural Science Edition) , 编辑部邮箱 ,2008年04期
- 【分类号】O175.6
- 【被引频次】1
- 【下载频次】55