| 带常数边界的平衡更新风险模型的破产问题 |
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| 引用本文： | 吴绪权,袁海丽,胡亦钧.带常数边界的平衡更新风险模型的破产问题[J].数学杂志,2007,27(4):419-424. |
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| 作者姓名： | 吴绪权 袁海丽 胡亦钧 |
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| 作者单位： | 1. 武汉理工大学理学院,湖北,武汉,430063
2. 武汉大学数学与统计学院,湖北,武汉,430072 |
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| 摘 要： | 本文讨论带常数边界的平衡更新风险模型的破产问题.利用Markov性质,给出惩罚函数满足的积分-微分方程,证明其惩罚函数可由更新风险模型的惩罚函数表示,并且给出一个具体的例子.
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| 关 键 词： | 平衡更新风险模型 破产时 红利边界 惩罚函数 |
| 文章编号： | 0255-7797（2007）04-0419-06 |
| 修稿时间： | 2006-12-062007-02-05 |
ON A CLASS OF STATIONARY RENEWAL RISK MODEL WITH CONSTANT DIVIDEND BARRIER |
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| WU Xu-quan,YUAN Hai-li,HU Yi-jun.ON A CLASS OF STATIONARY RENEWAL RISK MODEL WITH CONSTANT DIVIDEND BARRIER[J].Journal of Mathematics,2007,27(4):419-424. |
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| Authors: | WU Xu-quan YUAN Hai-li HU Yi-jun |
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| Institution: | 1. College of Science, Wuhan University of Technology, Wuhan 430063, China;2. School of Math. and Statistics, Wuhan University, Wuhan 430072, China |
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| Abstract: | In this paper, we discuss the expected discounted penalty function with a constant dividend barrier at ruin under the stationary renewal risk process. By strong Markov property, we first show that the expected discounted penalty function satisfies an integro-differential equation. We further prove that the solution to this equation can be expressed by the penalty function with a constant dividend barrier at ruin under ordinary renewal risk model. An explicit expression for the solution of this equation can be derived. |
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| Keywords: | stationary renewal risk model ruin time dividend barrier expected discounted penalty function |
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