理赔额与理赔间隔相依的风险模型的若干结论(英文)  

SOME RESULTS ON A RISK MODEL WITH DEPENDENCE BETWEEN CLAIM SIZES AND CLAIM INTERVALS

作　　者：于文广[1] 黄玉娟[2] 

机构地区：[1]山东财经大学保险学院,山东济南250014 [2]山东交通学院理学院,山东济南250023

出　　处：《数学杂志》2013年第5期781-787,共7页Journal of Mathematics

基　　金：Supported by Humanities and Social Sciences Project of the Ministry Education of China(13YJC630150;09YJC910004;10YJC630092);Natural Science Foundation of Shandong Province(ZR2010GL013);Research Program of Higher Education of Shandong Province(J10WF84);Natural Science Foundation of Shandong Province(ZR2012AQ013);Major Cultivation Project of Shandong Jiaotong University

摘　　要：本文研究了一类具有相依结构的风险模型.利用无穷小方法,得到了Gerber-Shiu罚金折现期望函数所满足的积分-微分方程,给出了破产时刻,破产赤字及破产前瞬时盈余的拉普拉斯变换的积分-微分方程的应用.最后,在具有常数红利边界下的同一风险模型中,分析了红利支付的期望现值.In this article, the risk model with a dependent setting is considered. By using differential argument, an integro-differential equation for some Gerber-Shiu discounted penalty functions for the exponentially distributed claim sizes is derived. Applications of the integro- differential equation are given to the Laplace transform of the time of ruin, the deficit at ruin, and the surplus immediately before ruin occurs. Finally, we analyze the expected present value of dividend payments in the same risk model with a constant dividend barrier.

关 键 词：风险模型 相依索赔额 常值红利边界 

分 类 号：O211.6[理学—概率论与数理统计]