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| Threshold分红策略下带干扰的两类索赔风险模型的Geber-Shiu函数 | |
| 引用本文： | 孙国红,张春生,季兰朋.Threshold分红策略下带干扰的两类索赔风险模型的Geber-Shiu函数[J].应用概率统计,2011,27(5):543-560. |
| 作者姓名： | 孙国红 张春生 季兰朋 |
| 作者单位： | 1. 天津农学院基础科学系,天津,300384 2. 南开大学数学学院,天津,300071 3. 南开大学数学学院,天津,300071;瑞士洛桑大学精算系,洛桑,1015 |
| 基金项目： | The project supported by the Tianjin Natural Science Foundation，the Keygrant Project of Chinese Ministry of Education，the Natural Science Foundation of China |
| 摘 要： | 本文研究了在threshold分红策略下带干扰的两类索赔风险模型的Geber-Shiu函数.这里假设两个索赔计数过程为独立的更新过程,其中一个为Poisson过程另一个为时间间隔服从广义Erlang(2)分布的更新过程.本文得到了threshold分红策略下Gerber-Shiu函数所满足的积分-微分方程及其边界条件.... |
| 关 键 词： | 两类索赔 Geber-Shiu函数 threshold分红策略 积分-微分方程 |
The Gerber-Shiu Penalty Functions for a Perturbed Risk Model with Two Classes of Risks and a Threshold Dividend Strategy |
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| SUN GUOHONG,ZHANG CHUNSHENG,JI LANPENG.The Gerber-Shiu Penalty Functions for a Perturbed Risk Model with Two Classes of Risks and a Threshold Dividend Strategy[J].Chinese Journal of Applied Probability and Statisties,2011,27(5):543-560. | |
| Authors: | SUN GUOHONG ZHANG CHUNSHENG JI LANPENG |
| Institution: | Sun Guohong~1 Zhang Chunsheng~2 Ji Lanpeng~(2,3) (1 Department of Basic Science,Tianjin Agricultural College,Tianjin,300384) (2 School of Mathematical Sciences and LPMC,Nankai University,300071) (3 Department of Actuarial Science,Faculty of Business and Economics,University of Lausanne,UNIL-Dorigny 1015 Lausanne,Switzerland) |
| Abstract: | In this paper,we study the perturbed risk model with two classes of claims and a threshold dividend strategy.We assume that the two claim counting processes are,respectively,Poisson and renewal process with generalized Erlang(2) inter-claim times.Integro-differential equations and certain boundary conditions satisfied by the Gerber-Shiu penalty functions are derived in terms of matrices.Finally,we show that the closed form for the Gerber-Shiu penalty functions can be expressed by the Gerber-Shiu penalty fun... |
| Keywords: | Two classes of risks Gerber-Shiu penalty functions threshold dividend strategy integro-differential equations |
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