复合泊松风险模型中观察间隔为混合指数分布的贴现罚金函数  

Discounted penalty function of compound Poisson risk model when observation interval being mixed exponential distribution

作　　者：李野默 王秀莲[1] 

机构地区：[1]天津师范大学数学科学学院,天津300387

出　　处：《天津师范大学学报（自然科学版）》2015年第2期17-20,共4页Journal of Tianjin Normal University：Natural Science Edition

基　　金：国家自然科学基金资助项目(11401436)

摘　　要：考虑审核时间间隔为混合指数分布时的期望贴现罚金函数,利用全概率公式和Laplace变换,给出贴现罚金函数满足的积分微分方程以及更新方程.针对指数索赔的情况给出期望贴现罚金函数的计算过程.最后,给出一些破产相关数据,以解释随机观察的效果.The discounted penalty function of compound Poisson risk model is studied when observation interval is mixed exponential distribution. By using tatal probability formula and Laplace transform, the integral differential equation for discounted penalty function and renewal equation are given. The calculation process of the discounted penalty function is given for the case of exponention claims. Some data about ruin are given to illustrate the effect of random observation times.

关 键 词：复合泊松风险模型 混合指数分布 更新方程 贴现罚金函数 

分 类 号：O211.67[理学—概率论与数理统计]