摘要
本文考虑了一类具有常数红利界限的包含两个独立险种风险模型的Gerber-Shiu罚金折现期望函数,我们假设两个索赔次数过程是独立的Poisson过程和广义Erlang(2)过程。得到了关于Gerber-Shiu罚金折现期望函数满足的积分-微分方程及其边界条件。特别,当这两类索赔额服从同一指数分布时,给出了Gerber-Shiu罚金折现期望函数的精确解。最后给出了一个例子。
In this paper, we consider the Gerber-Shiu expected discounted penalty functions for a risk model involving two independent classes of insurance risks with a dividend barrier. We assume that the two claim number processes are independent Poisson and generalized Erlang （2） processes, respectively. Integro-differential equations with boundary conditions for the Gerber-Shiu discounted penalty functions are derived. In particular, explicit results are derived when the claims from both classes have the same exponential distribution. Finally, an example is given.
出处
《工程数学学报》
CSCD
北大核心
2009年第1期51-59,共9页
Chinese Journal of Engineering Mathematics
基金
国家自然科学基金(10471076
10771119)
山东省自然科学基金(Y2004A06)
教育部科技重点项目(206091)
