两步保费率下的Erlang(2)风险过程(英文)  

Erlang (2) Risk Process with Two-step Premium Rate

作　　者：杨莉[1] 

机构地区：[1]北方民族大学信息与计算科学学院,银川750021

出　　处：《工程数学学报》2009年第2期331-340,共10页Chinese Journal of Engineering Mathematics

基　　金：The North University for Nationalities fund (2007y019)

摘　　要：本文研究了两步保费率下Erlang(2)风险过程,给出了Gerber-Shiu折现罚函数的两个微积分方程及其解或更新方程。在索赔额为指数分布条件下得到了两个与破产相关的量并计算出了相应的数值结果。We consider the Erlang （2） risk model with threshold dividend strategy. Under this strategy, no dividends are paid if the insurer＇s surplus is below certain threshold barrier. When the surplus is above this barrier, dividends are paid at a rate less than the premium rate. Two integro-defferential equations for the Gerber-Shiu discounted penalty function are given, and also their solutions are utilized to derive the probability of ultimate ruin and the Laplace transformation of the time of ruin where the claim size distribution is exponential. A numerical example is given for illustration.

关 键 词：两步保费率 ERLANG(2)风险过程 折现罚函数 最终破产概率 

分 类 号：O211.6[理学—概率论与数理统计]