带有相依索赔及常利率风险模型的期望贴现罚金函数  

The expected discounted penalty function for the risk model with dependent claims and constant interest force

作　　者：郑祉怡 

机构地区：[1]辽宁师范大学数学学院,辽宁大连116029

出　　处：《高师理科学刊》2015年第8期22-25,共4页Journal of Science of Teachers＇College and University

摘　　要：研究具有相依索赔及常利率的复合泊松风险模型,在模型中假定保险公司的索赔额和索赔时间不再相互独立,下一次索赔额受上一次索赔时间间隔的影响.对于此类模型,首先得到Gerber-Shiu期望贴现罚金函数所满足的积分-微分方程,然后得到了一个关于期望贴现罚金函数的Volterra形式的积分方程.Researched on the compound Poisson risk model with dependent claims and constant interest force, in which it assumes that the claim amount and inter-claim time of insurance company are no longer independence and the next claim size is influenced by the last inter-claim time. For such a model, first get a integral-differential equation for the Gerber-Shiu expected discounted penalty function, at the same time, also achieved a Volterra equation for the expected discounted penalty function.

关 键 词：常利率风险模型 相依结构 VOLTERRA方程 积分-微分方程 

分 类 号：F224[经济管理—国民经济]