阈红利策略下带干扰对偶风险模型的Gerber-Shiu罚金函数  

On The Gerber-Shiu Discounted Penalty Function of Dual Perturbed Risk Model with Threshold Dividend Strategy

作　　者：杨莉 张启敏 张来萍 YANG Li;ZHANG Qi-min;ZHANG Lai-ping(School of Mathematics and Information Science Beifang University of Nationalities,Yinchuan 750021,China;School of Mathematical and Statistical Science Ningxia University,Yinchuan 750021,China;Xinhua College,Ningxia University,Yinchuan 750021,China)

机构地区：[1]北方民族大学数学与信息科学学院,宁夏银川750021 [2]宁夏大学数学统计学院,宁夏银川750021 [3]宁夏大学新华学院,宁夏银川750021

出　　处：《数学的实践与认识》2020年第2期9-17,共9页Mathematics in Practice and Theory

基　　金：国家自然科学前期培育项目(2013QZP08);宁夏自然科学基金项目(NZ12208).

摘　　要：研究了带干扰的阈红利策略对偶风险的罚金函数,给出了Gerber-Shiu罚金函数的相关结果,由振动引起的罚金函数及由索赔引起的罚金函数满足的微积分方程或更新方程及其解,相应的得出索赔额为指数分布时的破产概率.In this paper,we consider the dual perturbed risk model with threshold dividend barrier,and derive the integro-defferential equations for the Gerber-Shiu discounted penalty function which are due to oscillation and caused by a claim,respectively,and also gain their solutions.Furthermore,the ruin probability of exponentially distributed claims is given.

关 键 词：阈红利策略 WIENER过程 对偶风险模型 罚金函数 

分 类 号：F840[经济管理—保险] O211[理学—概率论与数理统计]