| 带息力的Erlang(2)风险过程下的一类积分方程 |
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| 引用本文： | 张晓红,汪荣明,康凯. 带息力的Erlang(2)风险过程下的一类积分方程[J]. 应用概率统计, 2003, 19(3): 252-258 |
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| 作者姓名： | 张晓红 汪荣明 康凯 |
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| 作者单位： | 1. 华东师范大学统计系,上海,200062
2. 中国太平洋人寿保险股份有限公司,上海,200120 |
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| 基金项目： | Project supported by Swiss Re-Fudan Research Foundation(2001.6-2002.6)and by a key grant(project NO.02DJ14063)fromScience and Technology Committee of Shanghai City |
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| 摘 要： | 本文考虑了带息力的Erlang(2)风险模型，利用Sundt和Teugels(1995)，Yang和Zhang(2001a，2001b和2001c)文中的技巧，得到了生存概率所满足的积分方程和指数型的积分方程，然后研究了生存概率的Laplace-Stieltjes变换所满足的二阶微分方程．
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| 关 键 词： | Erlang（2）过程 生存概率 利息力 Laplace－Stieltjes变换 |
A Class of Integral Equations of Erlang(2) Risk Process under Interest Force |
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| ZHANG XIAOHONG WANG RONGMING. A Class of Integral Equations of Erlang(2) Risk Process under Interest Force[J]. Chinese Journal of Applied Probability and Statisties, 2003, 19(3): 252-258 |
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| Authors: | ZHANG XIAOHONG WANG RONGMING |
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| Abstract: | In this paper, we consider an Erlang(2) risk model with a constant interest force for an insurance portfolio. By using the techniques of Sundt & Teugels (1995) and Yang & Zhang (2001a, 2001b and 2001c), the integral equation and exponential integral equation satisfied by survival probability have been obtained. Then we have investigated the two-order differential equation satisfied by the Laplace-Stieltjes transform of survival probability. |
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| Keywords: | Erlang(2) process Survival probability Interest force Laplace-Stieltjes transform. |
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