一类具有新红利界限的Erlang(2)风险模型  

A KIND OF ERLANG(2) RISK MODEL WITH NEW DIVIDEND BARRIER

作　　者：聂高琴[1] 刘黎明[1] 王建文[2] 

机构地区：[1]首都经济贸易大学统计学院,北京100070 [2]中国水利水电科学研究院,北京100038

出　　处：《经济数学》2009年第4期1-12,共12页Journal of Quantitative Economics

基　　金：北京市自然科学基金资助项目(70073018);首都经济贸易大学校级科研资助项目(2009XJ014)

摘　　要：考虑到保险公司的实际运作中红利的发放率要比保费的收取率小,将一类新的红利政策引入Erlang(2)风险模型,利用更新论证,得到并求解了此模型下罚金折现期望函数所满足的微积分方程.最后通过数值例子,分析了红利界限与初始盈余对破产概率的影响.Considering the fact that the dividend firing rate is less than the premium rate in the operational of the insurance company,we introduced a new dividend policy to the Erlang(2)risk model.By the renewal argument,we derived and solved the integro-differential equation,which was satisfied by the expected discounted penalty funcion.Finally,we gave a numerical example to analyze the influence of the dividend barrier and the initial surplus on the ruin probability.

关 键 词：罚金折现期望 微积分方程 破产概率 更新方程 LAPLACE变换 

分 类 号：F224[经济管理—国民经济]