| 相关的常数红利障碍Poisson-Erlang风险模型(英文) |
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| 引用本文： | 刘莉,王正文,易亚利. 相关的常数红利障碍Poisson-Erlang风险模型(英文)[J]. 数学杂志, 2010, 30(3) |
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| 作者姓名： | 刘莉 王正文 易亚利 |
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| 作者单位： | 1. 武汉大学数学与统计学院,湖北,武汉,430072
2. 湖北大学数学与计算机科学学院,湖北,武汉,430062 |
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| 基金项目： | Supported by the Youth Foundation of Education Bureau in Hubei Province of China(Q200710002) |
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| 摘 要： | 本文研究了有常数红利障碍的相关聚合理赔风险模型.利用Laplace变换和逆Laplace变换的方法,获得了该模型中罚金折现期望函数的积分一微分方程的解法,推广了一类积分-微分方程的求解方法.
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| 关 键 词： | 相关 红利 积分-微分方程 Laplace变换 |
A CORRELATED POISSON-ERLANG RISK MODEL WITH A CONSTANT DIVIDEND BARRIER |
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| LIU Li,WANG Zheng-wen,YI Ya-li. A CORRELATED POISSON-ERLANG RISK MODEL WITH A CONSTANT DIVIDEND BARRIER[J]. Journal of Mathematics, 2010, 30(3) |
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| Authors: | LIU Li WANG Zheng-wen YI Ya-li |
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| Affiliation: | LIU Li~1,WANG Zheng-wen~2,YI Ya-li~2 (1.School of Math., Statistics,Wuhan University,Wuhan 430072,China) (2.Faculty of Math.& Computer Science,Hubei University,Wuhan 430062,China) |
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| Abstract: | This article studies a correlated aggregate claims risk model with a constant dividend barrier.By the technique of Laplace transforms and inverse-Laplace transforms,the integro-differential equations of the expected discounted penalty functions in the model are solved. The results extend the methods of solving a class of integro-differential equations. |
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| Keywords: | correlated dividend integro-differential equation Laplace transform |
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