阈红利策略下干扰复合Poisson模型中Gerber-Shiu函数的解析表示  

The Analytical Expressions for Gerber-Shiu Function of the Perturbed Compound Poisson Risk Model with a Threshold Dividend Strategy

作　　者：高合理[1] 张吉庆[1] 

机构地区：[1]滨州学院数学与信息科学系,山东滨州256603

出　　处：《滨州学院学报》2008年第6期30-34,共5页Journal of Binzhou University

摘　　要：构建了带干扰的复合Poisson模型下阈红利策略模型,求出了此模型下期望折扣罚金(Gerber-Shiu)函数满足的积分-微分方程,并通过无分红模型下的Gerber-Shiu函数得到它的解析表达式.This paper considers the classical compound Poisson risk model perturbed by diffusion and with a constant dividend barrier. Integro-differential equations with certain boundary conditions for the Gerber-Shiu function are derived. Analytical expressions for the Gerber-Shiu discounted penalty functions are gained.

关 键 词：复合POISSON风险模型 阈红利策略 Gerber—Shiu函数 积分-微分方程 

分 类 号：O211.3[理学—概率论与数理统计]