| 具有红利边界的Erlang(2)风险模型 |
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| 引用本文： | 高珊. 具有红利边界的Erlang(2)风险模型[J]. 纯粹数学与应用数学, 2009, 25(2): 251-257 |
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| 作者姓名： | 高珊 |
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| 作者单位： | 中南大学数学科学与计算技术学院,湖南,长沙,410075;阜阳师范学院数学与计算科学学院,安徽,阜阳,236041 |
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| 基金项目： | 安微省高等学校省级自然科擘研究项目 |
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| 摘 要： | 给出了具有边界红利策略的Erlang（2）风险模型，在此红利策略下，若保险公司的盈余在红利线以下时不支付红利，否则红利以低于保费率的常速率予以支付．对于该模型，本文推导了Gerber-Shiu折现惩罚函数所满足的两个积分－微分方程和更新方程．
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| 关 键 词： | Erlang(2)风险过程 折现惩罚函数 积分-微分方程 红利策略 |
The Erlang(2) risk model with a dividend barrier |
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| GAO Shan. The Erlang(2) risk model with a dividend barrier[J]. Pure and Applied Mathematics, 2009, 25(2): 251-257 |
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| Authors: | GAO Shan |
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| Affiliation: | GAO Shan1,2 (1. School of Mathematics,Central South University,Changsha 410075,China,2. Department of Mathematics,Fuyang Normal College,Fuyang 236041,China) |
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| Abstract: | In this paper, we present the Erlang(2) risk model with a dividend barrier strategy. Under such strategy, no dividends are paid if the insurer's surplus is below certain barrier level, when the surplus is above this barrier level, dividends are paid at a constant rate that does not exceed the premium rate. For the risk model, two integro-differential equations and a renewal equation for the Gerber-Shiu discounted penalty function are derived. |
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| Keywords: | Erlang(2) risk model discounted penalty function integro-differential equation dividend strategy |
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