【摘要】 本文考虑了一类具有常数红利界限的包含两个独立险种风险模型的Gerber-Shiu罚金折现期望函数,我们假设两个索赔次数过程是独立的Poisson过程和广义Erlang(2)过程。得到了关于Gerber-Shiu罚金折现期望函数满足的积分-微分方程及其边界条件。特别,当这两类索赔额服从同一指数分布时,给出了Gerber-Shiu罚金折现期望函数的精确解。最后给出了一个例子。更多还原

【Abstract】 In this paper,we consider the Gerber-Shiu expected discounted penalty functions for a risk model involving two independent classes of insurance risks with a dividend barrier.We assume that the two claim number processes are independent Poisson and generalized Erlang(2) processes,respectively.Integro-differential equations with boundary conditions for the Gerber-Shiu discounted penalty functions are derived.In particular,explicit results are derived when the claims from both classes have the same exponential distribution.Finally,an example is given.更多还原