具有二步保费的Erlang(2)风险模型(英文)  

The Erlang(2) Risk Model with a Two-step Premium Rate

作　　者：孙景云[1] 达高峰[1] 

机构地区：[1]兰州大学数学与统计学院,甘肃兰州730000

出　　处：《应用数学》2008年第3期612-621,共10页Mathematica Applicata

摘　　要：本文考虑了当索赔间隔时间为Erlang(2)分布且保费收取为二步保费过程的复合更新风险模型,推导出该模型的罚金折现期望值函数满足具有一定边界条件和积分微分方程,并解出该方程.特别地,当索赔额为指数分布时,利用所得结果给出了破产时间的Laplace变换及终积破产概率的解析解.In this paper, we consider a compound renewal risk process with a two-step premium rate in which the claim waiting times are Erlang（2） distributed. An integro-differential equation with certain boundary condition for Gerber-Shiu function is derived and solved,and use this result we obtain the explicit result about the Laplace transform of the time of ruin and ruin probability when the claim sizes are exponentially distributed,

关 键 词：复合更新过程 Erlang(2)分布 积分微分方程 罚金折现期望值函数 破产时刻 二步保费 

分 类 号：O211.62[理学—概率论与数理统计]