| 一类带扰动风险模型的Gerber-Shiu函数(英文) |
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| 引用本文： | 孙传光,王春伟. 一类带扰动风险模型的Gerber-Shiu函数(英文)[J]. 应用概率统计, 2010, 26(6): 577-588 |
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| 作者姓名： | 孙传光 王春伟 |
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| 作者单位： | 山东水利职业学院基础科学部,曲阜师范大学数学科学学院 |
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| 摘 要： | 本文研究了一类带扰动风险模型, 得到了此过程下Gerber-Shiu函数的微分积分方程, 并得到了推广Erlang(2)情形下Gerber-Shiu函数满足的更新方程.
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| 关 键 词： | Gerber-Shiu函数 微分积分方程 Laplace变换 广义Lundberg方程 |
The Gerber-Shiu Function in a Risk Model Perturbed by Diffusion |
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| SUN CHUANGUANG,WANG CHUNWEI. The Gerber-Shiu Function in a Risk Model Perturbed by Diffusion[J]. Chinese Journal of Applied Probability and Statisties, 2010, 26(6): 577-588 |
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| Authors: | SUN CHUANGUANG WANG CHUNWEI |
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| Affiliation: | Shandong Water Polytechnic,Qufu Normal University |
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| Abstract: | In this paper we consider a risk process perturbed by diffusion and obtain the integrodifferential equation for the Gerber-Shiu expected discounted penalty function. Furthermore, we prove that the Gerber-Shiu function satisfies a certain renewal equation in the case of the generalized Erlang(2). |
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| Keywords: | Gerber-Shiu function integro-differential equations Laplace transform generalized Lundberg's fundamental equation |
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