【摘要】 在常数界分红策略及绝对破产的情形下,构造了罚金折现函数期望的辅助函数,并得出它所满足的积分微分方程.当索赔额服从指数分布时,通过辅助函数得出罚金折现函数期望的解析表达式.更多还原

【Abstract】 This paper studies the absolute ruin in compound Poisson risk model with two nonnegative interests and a constant dividend barrier.First,an auxiliary function is defined for the Gerber-Shiu expected discounted penalty function.Second,an integro-differential equation for the auxiliary function is derived.Finally,in the case of exponential individual claim,the explicit expressions for the GerberShiu expected discounted penalty function are obtained by the auxiliary function.更多还原