The expected discounted penalty function for a kind of time-correlated risk model based on the renewal argument in consideration of the by-claim  

基于更新论证法考虑负索赔的一类与时间相关的风险模型的罚金折现期望函数(英文)

作　　者：聂高琴 刘次华 徐立霞 

机构地区：[1]Department of Mathematics,Huazhong Universityof Science and Technology [2]Department of Mathematics,Huazhong University of Science and Technology

出　　处：《Journal of Shanghai University(English Edition)》2007年第6期536-540,共5页上海大学学报（英文版）

基　　金：Project supported by the National Natural Science Foundation of China(Grant Nos.10301011,70271069)

摘　　要：In this paper, the expected discounted penalty function is considered in the risk process with the time-correlated claims, that is, every main claim can cause a by-claim but the occurrence of the by-claim may be delayed. By the renewal argument, it is shown that the expected value satisfies a system of integro-differential equations. Moreover, the explicit expression for the Laplace transform of the expected value is derived by means of Rouche＇s theorem. A numerical example is also given for illustrating the result.在这份报纸，期望的打折的惩罚功能与相关时间的主张在风险过程被考虑，也就是说，每个主要主张能引起一个由主张，但是由主张的出现可以被推迟。由更新参数，期望的值满足 integro 微分的方程的一个系统，这被显示出。而且，为期望的价值的 Laplace 变换的明确的表示借助于 Rouch 茅鈥檚 被导出定理。一个数字例子也为说明结果被给。

关 键 词：expected discounted penalty by-claim integro-differential equation Laplace transform. 

分 类 号：F830[经济管理—金融学] F224