带赋税与门槛分红的复合泊松风险模型的Gerber-Shiu函数（英文）  

The expected discounted penalty function under the compound Poisson risk model with tax payments and a threshold dividend strategy

作　　者：王文元[1] 刘章[2] 

机构地区：[1]新疆财经大学应用数学学院,新疆乌鲁木齐830012 [2]江西农业大学理学院,江西南昌330045

出　　处：《中国科学技术大学学报》2016年第2期87-94,共8页JUSTC

基　　金：Supported by the National Natural Science Foundation of China(11401498,61561025);Science and Technology Planning Project of Jiangxi Provincial Education Department(GJJ150401);the Fundamental Research Funds for the Central Universities(20720140525)

摘　　要：研究了一类复合泊松风险模型,其在安全负载体系下进行赋税,且按门槛策略进行分红.讨论了此模型破产时的变量期望折现罚金函数且得到了此函数满足的积分-微分方程和相关的表达式.最后,在单独索赔量为指数分布的特例下,给出了破产概率的一般表达式.The compound Poisson risk model was considered in which taxes were paid according to a loss-carry forward system and dividends were paid under a threshold strategy.For this model,the ruin quantities were discussed by defining an expected discounted penalty function at ruin and the analytical integro-differential equation satisfied by the expected discounted penalty function was derived.Finally,in the case where the individual claims follow an exponential distribution,explicit expressions for the ruin probability were given.

关 键 词：复合Poisson风险过程 期望折现罚金函数 门槛分红策略 

分 类 号：O211[理学—概率论与数理统计]