一类带多重界比例分红的经典风险模型的期望罚金贴现函数  

The Gerber-Shiu discounted penalty function of the compound Poisson risk model with multiple thresholds

作　　者：胡凤清[1] 李学堃[1] 张春生[2] 

机构地区：[1]天津工业大学理学院,天津300160 [2]南开大学数学学院,天津300071

出　　处：《天津师范大学学报（自然科学版）》2008年第4期44-48,共5页Journal of Tianjin Normal University：Natural Science Edition

基　　金：973国家基础研究项目(2007CB814905)

摘　　要：研究一类带多重界比例分红策略的经典风险模型的期望罚金贴现函数,得到了期望罚金贴现函数满足的微分-积分方程及其满足的更新方程,并给出了期望罚金贴现函数的显式表达式.The expected discounted penalty function of the compound Poisson risk model with multi-thresholds is considered. An integro-differential equation is derived for the Gerber-Shiu discounted penalty function, and also the renewal equations of the expected discounted penalty function are presented. The plicit expression of the GerberShiu discounted penalty function is obtained.

关 键 词：期望罚金贴现函数 微分一积分方程 多重界比例分红 复合泊松模型 

分 类 号：O211[理学—概率论与数理统计]