基于常利率投资和线性阈值分红策略下的绝对破产模型（英文）  

The Absolute Ruin Risk Model with Constant Interest Investment and Linear Threshold Dividend Strategy

作　　者：贺婷[1] 李智明[1] 吴黎军[1] 

机构地区：[1]新疆大学数学与系统科学学院,新疆乌鲁木齐830046

出　　处：《新疆大学学报（自然科学版）》2016年第2期127-133,253,共7页Journal of Xinjiang University(Natural Science Edition)

基　　金：supported by the National Natural Science Foundation of China(11361058);the Doctoral Program of Xinjiang University(BS130106)

摘　　要：研究了常利率投资和线性阈值分红策略下的绝对破产模型,利用全概率公式、Taylor展式求解绝对破产前累计分红现值的矩母函数和n阶矩函数的更新方程,得到Gerber-Shiu期望折现罚金函数的偏微分方程表达式.The paper mainly analyzes the absolute ruin risk model with constant interest investment and a linear threshold dividend strategy.By formula of full probability and Taylor expansion,renewal equations of moment-generating function and nth moment with present value of total dividends until absolution ruin are obtained.Further,partial integrodifferential equations of Gerber-Shiu function are given.

关 键 词：绝对破产模型 线性阈值分红策略 Gerber-Shiu期望折现罚金函数 更新方程 

分 类 号：O211.9[理学—概率论与数理统计]