| 常数分红下相依理赔量的Erlang(2)模型 |
| |
| 引用本文： | 董迎辉,王过京.常数分红下相依理赔量的Erlang(2)模型[J].数学物理学报(A辑),2010,30(3):656-665. |
| |
| 作者姓名： | 董迎辉 王过京 |
| |
| 作者单位： | 董迎辉(苏州大学数学系与金融工程研究中心,苏州,215006;苏州科技学院数理学院,苏州,215011);王过京(苏州大学数学系与金融工程研究中心,苏州,215006) |
| |
| 基金项目： | 江苏省自然科学基金，苏州科技学院院基金和江苏省普通高校研究生科研创新计划 |
| |
| 摘 要： | 该文考虑了常数障碍分红策略下的Erlang(2)模型,研究了Gerber-Shiu折现罚金函数和期望折现分红,导出了它们所满足的积分微分方程,并分析了它们的解.
|
| 关 键 词： | Erlang(2)过程 相依理赔量 Gerber-Shiu 折现罚金函数 积分微分方程 |
| 收稿时间： | 2008-10-08 |
| 修稿时间： | 2009-11-16 |
The Erlang (2) Risk Model with Interclaim-dependent Claim Sizes and Constant Dividend Barrier |
| |
| DONG Ying-Hui,WANG Guo-Jing.The Erlang (2) Risk Model with Interclaim-dependent Claim Sizes and Constant Dividend Barrier[J].Acta Mathematica Scientia,2010,30(3):656-665. |
| |
| Authors: | DONG Ying-Hui WANG Guo-Jing |
| |
| Institution: | 1.Department of Mathematics and Research Center for Financial Engineering, Suzhou University, Suzhou 215006;
2.Department of Mathematics, Suzhou Science and Technology University, Suzhou 215011 |
| |
| Abstract: | This paper considers Erlang(2) risk process with a constant dividend barrier. The Gerber-Shiu expected discounted penalty function and the expected discounted dividend payments associated with the proposed model are investigated. Integral equations, integro-differential
equations are derived. And the Gerber-Shiu expected discounted penalty function and the expected discounted dividend payments are analyzed. |
| |
| Keywords: | Erlang(2) processzz Interclaim-dependent claim sizeszz Gerber-Shiu expected discounted penalty functionzz Integro-differential equationzz |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
| 点击此处可从《数学物理学报(A辑)》浏览原始摘要信息 |
| 点击此处可从《数学物理学报(A辑)》下载免费的PDF全文 |
