关于FGM Copula下的风险模型的全分问题(英文)  

Constant Dividend Barrier in a Risk Model with Farlie-Gumbel-Morgenstern Copula

作　　者：孙国红[1] 刘鹏[2] 

机构地区：[1]天津农学院机电工程系,天津300384 [2]南开大学数学科学学院,天津300071

出　　处：《南开大学学报（自然科学版）》2012年第3期76-83,共8页Acta Scientiarum Naturalium Universitatis Nankaiensis

基　　金：Supported by the Natural Science Foundation of Tianjin(08JCYBJC02200);Education Science Eleven Five Project of Tianjin(G138)

摘　　要：考虑了在FGM copula下的复合泊松模型的全分问题.分别给出了G-S期望折现罚金函数和期望折现分红的微分方程,并给出方程的解.事实上,在解积分微分方程的过程中用到了2次微分方程的一些理论.The compound Poisson risk model is considered in presence of a constant barrier on the Farlie-Gumbel-Morgenstern copula. The integro-differential equations for the Gerber Shiu discounted penalty function and expected discounted dividend payments are derived and solved respectively. In fact, the theory of the second order differential equations is used to solve the integro-differential equations.

关 键 词：FGM COPULA G—S期望折现罚金函数 期望折现分红 全分分红 积分微分方程 

分 类 号：O211.6[理学—概率论与数理统计]