门槛策略下双复合Poisson风险过程的Gerber-Shiu函数  

The Gerber-Shiu Functions of the Double Compound Poisson Risk Process in a Threshold Dividend Strategy

作　　者：李适君[1] 明瑞星[1] 黄龙生[2] 

机构地区：[1]江西师范大学数学与信息科学学院,江西南昌330022 [2]浙江农林大学理学院,浙江临安311300

出　　处：《江西师范大学学报（自然科学版）》2011年第1期91-95,共5页Journal of Jiangxi Normal University(Natural Science Edition)

基　　金：国家自然科学基金(43007201);江西省自然科学基金(2008GQ50035)资助项目

摘　　要：利用风险理论讨论了门槛策略下的双复合Poisson风险模型的折扣惩罚函数(Gerber-Shiu函数).当0≤u<b时,得到了Gerber-Shiu函数的Laplace变换,并在指数索赔情况下得到了Gerber-Shiu函数的具体表达式.当u≥b时,导出了Gerber-Shiu函数满足的更新方程.The double compound Poisson risk model involving two independent classes of insurance risks with a thresh-old dividend strategy is considered by the risk theory.When 0≤ub,the Laplace transform of the Gerber-Shiu functions is given,and explicit results are derived when the claims from both classes are exponentially distributed.When u≥b,the Gerber-Shiu functions in the method of renewal equations are analyzed.

关 键 词：门槛策略 双复合泊松过程 微分积分方程 GERBER-SHIU函数 

分 类 号：O211.6[理学—概率论与数理统计]