| 阈红利边界下Erlang(2)风险过程的罚金折现期望函数(英文) |
| |
| 引用本文： | 张燕,姚泽清,陆朝阳.阈红利边界下Erlang(2)风险过程的罚金折现期望函数(英文)[J].数学杂志,2010,30(3). |
| |
| 作者姓名： | 张燕 姚泽清 陆朝阳 |
| |
| 作者单位： | 1. 解放军理工大学数理系,江苏,南京,211101
2. 武警工程学院基础部,陕西,西安,710086 |
| |
| 摘 要： | 本文研究了阙红利边界TErlang(2)风险过程的罚金折现期望函数.利用算子变换及复合几何分布函数得到了罚金折现期望函数满足的微分积分方程,并给出了罚金折现期望函数解析表达式.
|
| 关 键 词： | 阈红利边界 Erlang(2)风险过程 罚金折现期望函数 积分-微分方程 更新方程 Laplace变换 |
THE EXPECTED DISCOUNTED PENALTY FUNCTION FOR ERLANG(2) RISK PROCESS WITH A THRESHOLD DIVIDEND STRATEGY |
| |
| ZHANG Yan,YAO Ze-qing,LU Zhao-yang.THE EXPECTED DISCOUNTED PENALTY FUNCTION FOR ERLANG(2) RISK PROCESS WITH A THRESHOLD DIVIDEND STRATEGY[J].Journal of Mathematics,2010,30(3). |
| |
| Authors: | ZHANG Yan YAO Ze-qing LU Zhao-yang |
| |
| Institution: | ZHANG Yan~1,YAO Ze-qing~1,LU Zhao-yang~2 (1.Dept.of Math., Physics,PLA University of Science , Technology,Nanjing 211101,China) (2.Dept.of Basic Courses,Engineering College of the Armed Police Force,Xi\'an 710086,China) |
| |
| Abstract: | In this article,we consider the expected discounted penalty function for a risk process with a two-step premium rate in which the inter-claim times are Erlang(2) distributed. By operator transform and compound geometric distribution,we derive two integro-differential equations and two renewal equations for the expected discounted penalty function,and obtain the analytical expression for the expected discounted penalty function. |
| |
| Keywords: | a threshold dividend strategy Erlang(2) risk process expected discounted penalty function integro-differential equations renewal equations Laplace transform |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
