马氏调制费率的带干扰风险模型  

A Markov-Modulated Risk Model Perturbed by Diffusion

作　　者：孙歆[1] 段誉[1] 方世祖[2] 

机构地区：[1]毕节学院数学系,贵州毕节551700 [2]广西大学数学与信息科学学院,广西南宁530004

出　　处：《经济数学》2012年第1期100-105,共6页Journal of Quantitative Economics

基　　金：贵州省教育厅基金项目(2010036);毕节学院自然科学基金项目(20092017)

摘　　要：考虑了一类具有马氏调制的带干扰连续时间风险模型,得到了该模型下其条件Gerber-Shiu折现罚金函数所满足的积分方程,Laplace变换及渐近解.在两状态情形下。This paper studied a Markov-modulated premium income risk model perturbed by diffusion under the condi- tion of continuous time. The integral representations for the conditional Gerber-Shiu discounted penalty functions and the La- place transforms of them were derived, and the asymptotic estimates for the conditional Gerber-Shiu discounted penalty func- tions were also derived. Under the two states model, when the claim size distribution is from the rational family, the explicit solution for the conditional Gerber-Shiu discounted penalty functions was derived. As an application,a number example was giv en.

关 键 词：马氏调制 GERBER-SHIU折现罚金函数 LAPLACE变换 

分 类 号：O211.67[理学—概率论与数理统计]