具有二阶保费率的Erlang(2)风险过程  

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

作　　者：张燕[1,2] 田铮[2] 刘向增[2] 

机构地区：[1]中国人民解放军理工大学数学系,南京211101 [2]西北工业大学应用数学系,西安710072

出　　处：《工程数学学报》2009年第3期443-450,共8页Chinese Journal of Engineering Mathematics

基　　金：国家自然科学基金(60375003);国家航空基金(03I53059)

摘　　要：考虑二阶保费率下的Erlang(2)风险过程,得到了Gerber-Shiu函数满足的微分-积分方程及更新方程,并且当理赔额服从有理分布时,给出了Gerber-Shiu函数确切表达式。In this paper, we consider the Erlang（2） risk process with a two-step premium rate. Firstly, the integro-differential equations and the renewal equations for the Gerber-Shiu function are derived, respectively. Secondly, the expression for the Gerber-Shiu function is deduced when the claim size is rationally distributed.

关 键 词：二阶保费率 ERLANG(2)风险过程 GERBER-SHIU函数 LAPLACE变换 

分 类 号：O211.9[理学—概率论与数理统计]