线性阈红利策略风险模型中罚金函数的两个偏微积分方程  

Two partial integro-differential equations for discounted penalty function in risk model with threshold dividend strategy

作　　者：杨莉[1] 田兴虎[2] 丁维福[1] 

机构地区：[1]北方民族大学信息与计算科学学院,宁夏银川750021 [2]宁夏大学数学计算机学院,宁夏银川750021

出　　处：《西南民族大学学报（自然科学版）》2008年第1期61-64,共4页Journal of Southwest Minzu University(Natural Science Edition)

摘　　要：在经典复合泊松模型的基础上,研究线性阈红利边界下风险模型的Gerber-Shiu贴现罚金函数.推导出了它的偏微积分方程.The classical compound Poisson risk model with a two-step premium rate is considered in this paper, which is under the linear dividend barrier. Gerber-Shiu discounted penalty function is studied. The main purpose is to deduce the partial integro-differential equations for the discounted penalty function.

关 键 词：经典泊松风险模型 最终破产概率 Gerber-Shiu贴现罚金函数 阈红利边界 

分 类 号：O211.6[理学—概率论与数理统计]