一类利率随机且理赔相依的带干扰风险模型  

A Jump-diffusion Risk Process Compounded by a Geometric Brownian Motion with Dependence between Claim Sizes and Claim Intervals

作　　者：高合理[1] 

机构地区：[1]滨州学院数学与信息科学系,山东滨州256603

出　　处：《滨州学院学报》2012年第6期67-71,共5页Journal of Binzhou University

基　　金：滨州学院科研基金项目(BZXYL0904)

摘　　要：考虑了一类以几何布朗运动作为随机利率且索赔量与索赔间隔相依的带干扰的风险模型,得到了Gerber-Shiu折扣罚金函数满足的积分-微分方程及其初值条件,并给出了特殊条件下破产概率满足的三阶微分方程及其初值条件.In this paper, we consider a jump-diffusion risk process compounded by a geometric Brownian motion with dependence between claim sizes and claim intervals. A system of integro-differential equations with boundary conditions satisfied by the Gerber-Shiu function is derived. In exponential case,a system of differential equations satisfied by the probability of ultimate ruin is given.

关 键 词：理赔相依 几何布朗运动 Gerber-Shiu折扣罚金函数 

分 类 号：O211.3[理学—概率论与数理统计]