红利边界下两类索赔相关风险模型的Gerber-Shiu函数  

Two Correlated Aggregate Claims Risk Model with a Constant Dividend Barrier

作　　者：张燕[1] 毛磊[1] 寇冰煜[1] 

机构地区：[1]解放军理工大学理学院数理系,南京211101

出　　处：《科学技术与工程》2011年第22期5361-5364,5367,共5页Science Technology and Engineering

基　　金：解放军理工大学理学院青年科研基金资助

摘　　要：考虑具有常数红利边界的两类索赔相关风险模型的Gerber-Sh iu函数。两类索赔计数过程分别为独立的Poisson过程和广义Erlang(2)过程。得到了Gerber-Sh iu函数满足的积分-微分方程及边界条件,并给出了Gerber-Sh iu函数的解析表达式。The Gerber-Shiu expected discounted penalty functions for a risk model with two dependent classes of insurance business is considered in the presence of a constant dividend barrier. Claim occurrence of both classes relate to Poisson and generalized Erlang （2） processes. Integro-differential equations with boundary conditions for the Gerber-Shiu expected discounted penalty functions and the explicit expression of the Gerber-Shiu expected dis- counted penalty functions are derived.

关 键 词：POISSON过程 广义Erlang(2)过程 Gerber—Shiu函数 红利边界 

分 类 号：F840.4[经济管理—保险]