| 常数红利下索赔到达时间间距为混合分布的罚金折现期望函数 |
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| 引用本文： | 聂高琴,刘次华.常数红利下索赔到达时间间距为混合分布的罚金折现期望函数[J].数学的实践与认识,2011,41(19). |
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| 作者姓名： | 聂高琴 刘次华 |
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| 作者单位： | 1. 首都经济贸易大学统计学院,北京,100070
2. 华中科技大学数学与统计学院,湖北武汉,430074 |
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| 基金项目： | 北京市属高等学校人才强教计划资助项目——中青年骨干人才培养计划资助,北京市教委统计学特色专业建设项目资助 |
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| 摘 要： | 在常数红利策略下考虑索赔时间间隔为指数分布与Erlang(2)分布混合时的风险模型,在此红利策略下,若保险公司的盈余在红利线以下时不支付红利,否则红利以等于保费率的常速率予以支付.对于此风险模型,推导并求解了罚金折现期望函数所满足的微积分方程,并在索赔量为指数分布时研究了其解的形式.
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| 关 键 词： | 红利 罚金折现期望 混合分布 Laplace变换 |
Expected Discounted Penalty Function for the Claim Inter-Arrival Times Have Mixing Distributions with Constant Dividend Barrier |
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| NIE Gao-qin,LIU Li-hua.Expected Discounted Penalty Function for the Claim Inter-Arrival Times Have Mixing Distributions with Constant Dividend Barrier[J].Mathematics in Practice and Theory,2011,41(19). |
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| Authors: | NIE Gao-qin LIU Li-hua |
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| Institution: | NIE Gao-qin,LIU Li-hua (1.School of Statistics,Capital University of Economics and Business,Beijing 100070,China) (2.School of Mathematics and Statistics,Huazhong University of Science and Technology,Wuhan 430074,China) |
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| Abstract: | We consider the risk model in the presence of a constant dividend barrier in which the claim inter-arrival times are the mixture of exponential and Erlang(z) distributions. Under such as strategy,no dividends are paid if the insurer's surplus is below the dividend level.Otherwise,dividends are paid at a constant rate that is equal to the premium rate.For this risk model,An integro-differential equation satisfied by the expected discounted penalty function is derived and solved.And,the form of its solution i... |
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| Keywords: | dividend expected discounted penalty mixing distribution laplace transform |
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