可以贷款和投资的古典绝对破产模型的Gerber-Shiu折现罚金函数  

The Gerber-Shiu discounted penalty function of the classical absolute ruin model with investment and loan

作　　者：占学宝[1] 王玲芝[2] 张春生[3] 

机构地区：[1]天津市电子仪表工业总公司,天津300110 [2]天津现代职业技术学院,天津300222 [3]南开大学数学科学学院,天津300071

出　　处：《天津师范大学学报（自然科学版）》2009年第1期16-19,22,共5页Journal of Tianjin Normal University：Natural Science Edition

基　　金：国家自然科学基金项目(10571132)

摘　　要：考虑可以贷款和投资的古典绝对破产模型,利用索赔发生时刻对其Gerber-Shiu折现罚金函数进行离散,得到了该函数满足的方程以及函数的具体表达式.The classical absolute ruin model with investment and loan was studied. By the discretization for the Gerber-Shiu discounted penalty function with the time of claims, the integral equation for the function and the explicit expression of the function were obtained.

关 键 词：GERBER-SHIU折现罚金函数 绝对破产概率 绝对破产时刻 

分 类 号：O211.6[理学—概率论与数理统计]