| 一类具有新红利界限的Erlang(2)风险模型 |
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| 引用本文： | 聂高琴,刘黎明,王建文.一类具有新红利界限的Erlang(2)风险模型[J].经济数学,2009(4). |
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| 作者姓名： | 聂高琴 刘黎明 王建文 |
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| 作者单位： | 首都经济贸易大学统计学院 中国水利水电科学研究院 |
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| 基金项目： | 北京市自然科学基金资助项目(70073018);; 首都经济贸易大学校级科研资助项目(2009XJ014) |
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| 摘 要： | 考虑到保险公司的实际运作中红利的发放率要比保费的收取率小,将一类新的红利政策引入Erlang(2)风险模型,利用更新论证,得到并求解了此模型下罚金折现期望函数所满足的微积分方程.最后通过数值例子,分析了红利界限与初始盈余对破产概率的影响.
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| 关 键 词： | 罚金折现期望 微积分方程 破产概率 更新方程 Laplace变换 |
A KIND OF ERLANG(2) RISK MODEL WITH NEW DIVIDEND BARRIER |
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| NIE Gao-qin,; LIU Li-ming,; WANG Jian-wen.A KIND OF ERLANG(2) RISK MODEL WITH NEW DIVIDEND BARRIER[J].Mathematics in Economics,2009(4). |
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| Authors: | NIE Gao-qin ; LIU Li-ming ; WANG Jian-wen |
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| Institution: | 1.School of Statistics; Capital University of Economics and Business; Beijing 100070; China; 2.China Institute of Water Resources and Hydropower Research; Beijing 100038; China); |
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| Abstract: | Considering the fact that the dividend firing rate is less than the premium rate in the operational of the insurance company,we introduced a new dividend policy to the Erlang(2)risk model.By the renewal argument,we derived and solved the integro-differential equation,which was satisfied by the expected discounted penalty funcion.Finally,we gave a numerical example to analyze the influence of the dividend barrier and the initial surplus on the ruin probability. |
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| Keywords: | expected discounted penalty integro-differential equation ruin probability renewal equation Laplace transform |
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