| 具有随机收入的扰动更新风险模型(英文) |
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| 引用本文： | 胡燕,肖和录,乐胜杰,邓迎春.具有随机收入的扰动更新风险模型(英文)[J].数学杂志,2014,34(2):225-235. |
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| 作者姓名： | 胡燕 肖和录 乐胜杰 邓迎春 |
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| 作者单位： | 湖南师范大学数学与计算机科学学院;湖南师范大学高性能计算与随机信息处理省部共建教育部重点实验室; |
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| 基金项目： | Supported by Key Laboratory of High Performance Computing and Stochastic Information Processing |
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| 摘 要： | 本文研究了一类随机收入的扰动更新风险模型的破产问题.运用拉普拉斯变换以及拉格朗日差值公式得到了Gerber-Shiu函数的拉普拉斯变换的渐近表达式,推广了文献4]中的结论.
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| 关 键 词： | Gerber-Shiu折罚函数 拉普拉斯变换 随机收入 |
| 收稿时间： | 2012/12/27 0:00:00 |
| 修稿时间： | 2013/5/14 0:00:00 |
THE PERTURBED RENEWAL RISK MODEL WITH STOCHASTIC INCOME |
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| HU Yan,XIAO He-lu,YUE Sheng-jie and DENG Ying-chun.THE PERTURBED RENEWAL RISK MODEL WITH STOCHASTIC INCOME[J].Journal of Mathematics,2014,34(2):225-235. |
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| Authors: | HU Yan XIAO He-lu YUE Sheng-jie and DENG Ying-chun |
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| Institution: | College of Mathematics and Computer Science, Hunan Normal University, Changsha 410081, China;Key Laboratory of High Performance Computing and Stochastic Information Processing, Ministry of Education of China, Hunan Normal University, Changsha 410081, China,College of Mathematics and Computer Science, Hunan Normal University, Changsha 410081, China;Key Laboratory of High Performance Computing and Stochastic Information Processing, Ministry of Education of China, Hunan Normal University, Changsha 410081, China,College of Mathematics and Computer Science, Hunan Normal University, Changsha 410081, China;Key Laboratory of High Performance Computing and Stochastic Information Processing, Ministry of Education of China, Hunan Normal University, Changsha 410081, China and College of Mathematics and Computer Science, Hunan Normal University, Changsha 410081, China;Key Laboratory of High Performance Computing and Stochastic Information Processing, Ministry of Education of China, Hunan Normal University, Changsha 410081, China |
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| Abstract: | In this paper, the ruin problems under stochastic income in the perturbed renewal risk model are considered. By using Laplace transform and Lagrange interpolation formula, the asymptotic results for Gerber-Shiu function are derived when the individual stochastic premium sizes are exponentially distributed, which generalize the results of 4]. |
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| Keywords: | Gerber-Shiu discounted penalty function Laplace transform stochastic income |
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