带常数界绝对破产时刻罚金折现函数期望  

The Gerber-Shiu expected discounted penalty function for risk processes with two interests and a constant dividend barrier under absolute ruin

作　　者：陈倩[1] 何传江[1] 

机构地区：[1]重庆大学数学与统计学院,重庆401331

出　　处：《东北师大学报（自然科学版）》2013年第4期17-22,共6页Journal of Northeast Normal University(Natural Science Edition)

基　　金：中央高校基本科研业务费专项资金资助项目(CDJXS11100030);重庆市自然科学基金资助项目(CSTC 2010BB9218)

摘　　要：在常数界分红策略及绝对破产的情形下,构造了罚金折现函数期望的辅助函数,并得出它所满足的积分微分方程.当索赔额服从指数分布时,通过辅助函数得出罚金折现函数期望的解析表达式.This paper studies the absolute ruin in compound Poisson risk model with two nonnegative interests and a constant dividend barrier. First, an auxiliary function is defined for the Gerber-Shiu expected discounted penalty function. Second, an integro-differential equation for the auxiliary function is derived. Finally, in the case of exponential individual claim, the explicit expressions for the Gerber- Shiu expected discounted penalty function are obtained by the auxiliarv function.

关 键 词：绝对破产 常数界分红策略 罚金折现函数期望 利率 积分微分方程 

分 类 号：O211.6[理学—概率论与数理统计]