带投资和障碍分红的破产时刻Laplace变换  

The Laplace transform of ruin time with investment and barrier dividend

作　　者：孙宗岐 杨鹏[2] SUN Zongqi;YANG Peng(Medical College,Xijing University,Xi an 710123,Shaanxi Province,P.R.China;College of Science,Xijing University,Xi an 710123,Shaanxi Province,P.R.China)

机构地区：[1]西京学院医学院,陕西西安710123 [2]西京学院理学院,陕西西安710123

出　　处：《深圳大学学报（理工版）》2021年第2期214-220,共7页Journal of Shenzhen University(Science and Engineering)

基　　金：国家自然科学基金资助项目(71371152);陕西省教育厅自然科学专项基金资助项目(2016JK2150)。

摘　　要：考虑复合Poisson-Geometric风险下带有投资和障碍分红的Gerber-Shiu函数问题,运用全期望公式得到复合Poisson-Geometric风险下带投资和障碍分红的Gerber-Shiu函数所满足的微分-积分方程.在指数分布假设下,得到带投资和障碍分红的保险公司破产时刻Laplace变换的显式解.In order to study the Gerber-Shiu function for a compound Poisson-Geometric risk model with investment and barrier dividend,we obtain the differential-integral equation of the Gerber-Shiu function by using the method of total expectation formula. Under the assumption of exponential distribution,the explicit solution of the Laplace transform of ruin time of insurance company with investment and barrier dividend is given.

关 键 词：运筹学 对策论 复合POISSON-GEOMETRIC过程 风险投资 障碍分红 GERBER-SHIU函数 破产时刻Laplace变换 

分 类 号：O211.63[理学—概率论与数理统计]