| 带常数红利边界马氏相依风险模型的Gerber-Shiu折扣惩罚函数的期望 |
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| 引用本文： | 刘娟,胡亦钧.带常数红利边界马氏相依风险模型的Gerber-Shiu折扣惩罚函数的期望[J].数学杂志,2007,27(5):489-492. |
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| 作者姓名： | 刘娟 胡亦钧 |
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| 作者单位： | 1. 武汉大学数学与统计学院,湖北武汉,430072;湖北师范学院数学系,湖北黄石,435002
2. 武汉大学数学与统计学院,湖北武汉,430072 |
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| 摘 要： | 本文研究了带常数红利边界的马氏相依风险模型,利用微分方法,推导出折扣惩罚函数的期望所满足的积分-微分方程,及其满足的边界条件,并给出了其解的一般表达形式.
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| 关 键 词： | 马氏相依 红利边界 折扣惩罚函数的期望 积分微分方程 |
| 文章编号： | 0255-7797（2007）05-0489-04 |
| 修稿时间： | 2003-10-082005-03-11 |
THE GERBER-SHIU DISCOUNTED PENALTY FUNCTION OF MARKOV-DEPENDENT RISK MODEL WITH A CONSTANT DIVIDEND BARRIER |
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| LIU Juan,HU Yi-jun.THE GERBER-SHIU DISCOUNTED PENALTY FUNCTION OF MARKOV-DEPENDENT RISK MODEL WITH A CONSTANT DIVIDEND BARRIER[J].Journal of Mathematics,2007,27(5):489-492. |
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| Authors: | LIU Juan HU Yi-jun |
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| Institution: | 1. School of Math. and Statistics, Wuhan University,Wuhan 430072, China;2. Dept. of Math., Hubei Normal University, Huangshi 435002, China |
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| Abstract: | In this paper, we study the Markov-dependent risk model with a constant dividend barrier. By using differential argument, we get an integro-differential equation for the Gerber-Shiu discounted penalty function with boundary conditions and its general solution form. |
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| Keywords: | Markov-dependent dividend barrier expected discounted penalty function integro-differential equation |
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