| 初论一类风险模型下的破产时刻罚金折现期望 |
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| 引用本文： | 王后春,杜雪樵.初论一类风险模型下的破产时刻罚金折现期望[J].大学数学,2010,26(1). |
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| 作者姓名： | 王后春 杜雪樵 |
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| 作者单位： | 1. 安徽建筑工业学院数理系,安徽,合肥,230022
2. 合肥工业大学数学学院,安徽,合肥,230009 |
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| 摘 要： | 考虑一类具有Poisson过程和Erlang(n)过程的风险模型的破产问题,该模型中保险公司具有两类保险,每类保险的理赔次数过程都是Poisson过程与一个共同的Erlang(n)过程的和.针对这类理赔相关的风险模型,就利息力为常数的情形得到破产时刻罚金折现期望的积分—微分方程.
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| 关 键 词： | Poisson过程 Erlang(n)过程 破产时刻罚金折现期望 积分—微分方程 |
Preliminary Study of the Expected Discounted Penalty at Ruin under a Risk Model |
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| WANG Hou-chun,DU Xue-qiao.Preliminary Study of the Expected Discounted Penalty at Ruin under a Risk Model[J].College Mathematics,2010,26(1). |
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| Authors: | WANG Hou-chun DU Xue-qiao |
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| Institution: | 1.Dept.of Mathematics & Physics;Anhui Institute of Architecture & Industry;Hefei 230022;China;2.School of Mathematics;Hefei University of Technology;Hefei 230009;China |
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| Abstract: | We considerate the ruin problems of a risk model with Poisson and Erlang(n) processes.In this model,the insurer have two classes of insurance business for each of which the claim number process relate to Poisson process and the same Erlang(n) process.About this correlated aggregate claims risk model,the integro-differential equation for the expected discounted penalty function at ruin is obtained in the case of constant force of interest. |
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| Keywords: | Poissoin process Erlang(n) process expected discounted penalty at ruin integro-differential equation |
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