保费收入服从复合泊松过程的一类相依更新风险模型研究  

On a renewal risk model with dependence and the premium income obeying the compound poisson process

作　　者：张大伟[1] 王传玉[1] 方颢[1] 

机构地区：[1]安徽工程大学数理学院,安徽芜湖241000

出　　处：《贵州师范大学学报（自然科学版）》2014年第2期57-61,共5页Journal of Guizhou Normal University：Natural Sciences

基　　金：国家自然科学基金项目(61203139);安徽省重点教研项目(2012jyxm277)

摘　　要：研究了保费收入过程是复合泊松过程和聚合理赔过程中理赔间隔时间和个别理赔额之间具有Boudreault中所描述的相依结构的一类更新风险模型。通过运用全期望公式、边际密度函数、Laplace变换函数、连续形式的Dickson-Hipp算子等一系列方法,推导出了该模型的Gerber-Shiu函数及其Laplace变换函数的显示表达式。pound poisson process and the dependence between claim intervals and claim sizes is as Boudreault described,namely the time between claim intervals determines the distribution of the next claim size.Mainly using a series of methods as the expectation formula,marginal density function,Laplace transformation function,continuous forms of Dickson-Hipp operator and so on,They finally derive the exact expression of the Gerber-Shiu function and Laplace transform function.

关 键 词：保费收入过程 相依 Laplace变换函数 

分 类 号：O211.9[理学—概率论与数理统计]