门限分红策略下复合Poisson风险模型的绝对破产  

Absolute ruin for the compound Piosson risk model with a threshold dividend strategy

作　　者：孙景云[1] 

机构地区：[1]兰州城市学院数学学院,甘肃兰州730070

出　　处：《山东大学学报（理学版）》2010年第3期105-110,共6页Journal of Shandong University(Natural Science)

摘　　要：考虑了具有借贷利率和门限分红策略下复合Poisson风险模型的绝对破产问题。利用对首次索赔发生时刻取条件的方法推导出绝对破产概率和绝对破产发生时赤字的分布满足具有一定边界条件的积分-微分方程组。当索赔额为指数分布时,给出了绝对破产概率和绝对破产发生时赤字分布的解析表达式。The absolute ruin problem was studied for the compound Poisson risk model with debit interest and threshold dividend strategy.Using the method of condition on the time of first claim,an integro-differential equation system with correspond boundary conditions satisfied by the absolute ruin probability and the distribution of deficit at the time to absolute ruin are derived.In the case of exponential individual claim,the explicit expressions of the absolute ruin probability and the distribution of deficit at absolute ruin are given.

关 键 词：绝对破产 门限分红策略 积分-微分方程 绝对破产赤字 

分 类 号：O211.62[理学—概率论与数理统计]