| 绝对破产下具有贷款利息及常数分红界的扰动复合Poisson风险模型 |
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| 引用本文： | 王春伟,尹传存.绝对破产下具有贷款利息及常数分红界的扰动复合Poisson风险模型[J].数学物理学报(A辑),2010,30(1):31-41. |
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| 作者姓名： | 王春伟 尹传存 |
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| 作者单位： | 王春伟(河南科技大学理学院,河南洛阳,471003;曲阜师范大学数学科学学院,山东曲阜,273165);尹传存(曲阜师范大学数学科学学院,山东曲阜,273165) |
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| 基金项目： | 国家自然科学基金，山东省自然科学基金，教育部科学技术研究重点项目 |
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| 摘 要： | 该文研究了绝对破产下具有贷款利息及常数分红界的扰动复合Poisson风险模型,得到了折现分红总量的均值函数,及其矩母函数以及此模型的期望折现罚金函数(Gerber-Shiu函数)满足的积分-微分方程及边值条件,并求出了某些特殊情形下的具体表达式.
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| 关 键 词： | 绝对破产 Brown运动 分红量 贷款利息 期望折现罚金函数 |
| 收稿时间： | 2008-05-18 |
| 修稿时间： | 2009-06-19 |
On the Perturbed Compound Poisson Risk Model under Absolute Ruin with Debit Interest and a Constant Dividend Barrier |
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| WANG Chun-Wei,YIN Chuan-Cun.On the Perturbed Compound Poisson Risk Model under Absolute Ruin with Debit Interest and a Constant Dividend Barrier[J].Acta Mathematica Scientia,2010,30(1):31-41. |
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| Authors: | WANG Chun-Wei YIN Chuan-Cun |
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| Institution: | 1.School of Mathematics and Statistics, Henan University of Science and Technology, Henan Luoyang 471003;
2.School of Mathematical Sciences, Qufu Normal University, Shandong Qufu 273165 |
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| Abstract: | In this paper,we consider the perturbed compound Poisson risk model under absolute ruin with debit interest and a constant dividend barrier.Integro-differential equations satisfied by the expectation of discounted dividend payments,the moment generating function and the expected discounted penalty function(Gerber-Shiu function) with certain boundary conditions are obtained.For some special cases,explicit expressions are obtained. |
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| Keywords: | Absolute ruin Brownian motion Dividend payments Debit interest Expected discounted penalty function |
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