相关风险和模型的折扣惩罚函数的期望  

ON THE EXPECTED DISCOUNTED PENALTY FUNCTIONS FOR TWO CORRELATED CLASSES OF RISK PROCESS

作　　者：郝茵茵[1,2] 胡亦钧[2] 

机构地区：[1]中南民族大学经济学院,湖北武汉430074 [2]武汉大学数学与统计学院,湖北武汉430072

出　　处：《数学杂志》2009年第1期61-65,共5页Journal of Mathematics

基　　金：国家自然科学基金资助项目(70273029)

摘　　要：本文研究了包含两类相关风险和模型的Gerber-Shiu函数,利用积分-微分方程和构造指数鞅,获得了破产时Gerber-Shiu函数的Laplace变换.当两类索赔额均服从指数分布时,求出了相应的显式.The Gerber-Shiu functions for a risk model involving two dependent classes of risk processes is discussed in this paper. We get Laplace transforms of two types of the Gerber-Shiu functions at ruin by an integro-differential equation in terms of constructing martingale. Explicit results are derived when the claims from both classes are exponentially distributed.

关 键 词：惩罚函数 复合POISSON过程 积分-微分方程 破产概率 

分 类 号：O211.6[理学—概率论与数理统计]