具有PH(n)理赔时间间隔的Sparre-Andersen模型中的分红问题  

Dividend problems in a Sparre-Andersen model with PH(n) interclaim times

作　　者：刘晓[1] 

机构地区：[1]安徽师范大学数学计算机科学学院,安徽芜湖241003

出　　处：《山东大学学报（理学版）》2015年第6期7-12,共6页Journal of Shandong University(Natural Science)

基　　金：安徽省哲学社会科学规划资助项目(AHSK11-12D128);安徽省教育厅自然科学研究重点项目(KJ2012ZD01);安徽省自然科学基金资助项目(1308085QA14);国家自然科学基金资助项目(11371321;11201005;11201006)

摘　　要：假设盈余过程描述为Sparre-Andersen模型,理赔时间间隔服从PH(n)分布,分红只在一些随机的观测时间支付,分红策略为障碍策略,得到了期望折现分红和破产时间Laplace变换所满足的积分-微分方程组,并在n=2和指数理赔的假设下给出了方程组的求解方法。Assuming that the surplus process is described by a Sparre-Andersen model, the interclaim times are PH（n） distributed, dividends can only be paid at some randomized observation times and the dividends are paid according to a barrier strategy, the integro-differential equations for the expected discounted dividends and the Laplace transform of ru- in time were derived. The solutions of the equations were given with exponentially distributed claims and n = 2.

关 键 词：Sparre-Andersen模型 PH(n)分布 分红 随机观测 

分 类 号：O211[理学—概率论与数理统计]