| 阈红利边界下理赔时间间隔与理赔额相依的风险模型 |
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| 引用本文： | 张燕,田铮,刘向增. 阈红利边界下理赔时间间隔与理赔额相依的风险模型[J]. 数理统计与管理, 2008, 27(4) |
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| 作者姓名： | 张燕 田铮 刘向增 |
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| 作者单位： | 1. 中国人民解放军理工大学理学院,江苏,南京,211101;西北工业大学应用数学系,陕西,西安,710072
2. 西北工业大学应用数学系,陕西,西安,710072 |
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| 基金项目： | 国家自然科学基金 , 航空科研项目 |
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| 摘 要： | 考虑阈红利边界下理赌时间间隔与理赔额相依的风险模型.首先给出了该模型的Gerber- Shiu函数满足的积分.微分方程及更新方程,然后利用Laplace变换及复合几何分布函数得到了Gerber-Shiu函数的确切表达式.
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| 关 键 词： | 阈红利边界 Gerber-Shiu函数 积分-微分方程 更新方程 Laplace变换 |
A Risk Model with Dependence between Interclaim Arrivals and Claim Sizes under A Threshold Dividend Strategy |
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| ZHANG Yan,TIAN Zheng,LIU Xiang-zeng. A Risk Model with Dependence between Interclaim Arrivals and Claim Sizes under A Threshold Dividend Strategy[J]. Application of Statistics and Management, 2008, 27(4) |
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| Authors: | ZHANG Yan TIAN Zheng LIU Xiang-zeng |
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| Abstract: | In this paper,we consider a risk model with a threshold dividend strategy in which interclaim arrivals and claim sizes are dependent.Firstly,we derive the integro-differential equation and the renewal equation for the Gerber-Shiu function.Secondly,we obtain the analytical expressions for the Gerber-Shiu function by employing the Laplace transforms and the compound geometric distribution functions. |
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| Keywords: | a threshold dividend strategy Gerber-Shiu function integro-differential equations renewal equations Laplace transform |
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