随机观察时间对偶风险模型中的期望折现罚函数  

The expected discounted penalty function in the dual insurance risk model with randomized observation periods

作　　者：江五元[1] 黄俊 JIANG Wu-yuan;HUANG Jun(Department of Mathematics,Hunan Institute of Science and Technology,Yueyang 414006,China)

机构地区：[1]湖南理工学院数学学院,湖南岳阳414006

出　　处：《高校应用数学学报（A辑）》2020年第4期405-413,共9页Applied Mathematics A Journal of Chinese Universities(Ser.A)

基　　金：国家社会科学基金项目(17BJY206)。

摘　　要：考虑了复合Poisson风险过程的对偶模型,当观察时间间距分别为指数分布和Erlang(n)分布时,得到了期望折现罚函数的积分-微分方程.假设随机收入服从指数分布情形时,给出了期望折现罚函数的解析表达式.最后进行了数值模拟.The dual model of the compound Poisson risk process with the exponential distributed and Erlang(n)distributed interval of time between two successive observations is considered,respectively.The integro-differential equation satisfied by the expected discounted penalty function is derived.The explicit expression if the stochastic sudden gain follows an exponential distribution is given.Numerical examples are presented.

关 键 词：对偶风险模型 期望折现罚函数 随机观察 Erlang(n)分布 

分 类 号：O211.6[理学—概率论与数理统计]