数学物理学报
數學物理學報
수학물이학보
ACTA MATHEMATICA SCIENTIA
2010年
1期
31-41
,共11页
绝对破产%Brown运动%分红量%贷款利息%期望折现罚金函数
絕對破產%Brown運動%分紅量%貸款利息%期望摺現罰金函數
절대파산%Brown운동%분홍량%대관이식%기망절현벌금함수
Absolute ruin%Brownian motion%Dividend payments%Debit interest%Expected discounted penalty function
该文研究了绝对破产下具有贷款利息及常数分红界的扰动复合Poisson风险模型,得到了折现分红总量的均值函数,及其矩母函数以及此模型的期单折现罚金函数(Gerber-Shiu函数)满足的积分-微分方程及边值条件,并求出了某些特殊情形下的具体表达式.
該文研究瞭絕對破產下具有貸款利息及常數分紅界的擾動複閤Poisson風險模型,得到瞭摺現分紅總量的均值函數,及其矩母函數以及此模型的期單摺現罰金函數(Gerber-Shiu函數)滿足的積分-微分方程及邊值條件,併求齣瞭某些特殊情形下的具體錶達式.
해문연구료절대파산하구유대관이식급상수분홍계적우동복합Poisson풍험모형,득도료절현분홍총량적균치함수,급기구모함수이급차모형적기단절현벌금함수(Gerber-Shiu함수)만족적적분-미분방정급변치조건,병구출료모사특수정형하적구체표체식.
In this paper,we consider the perturbed compound Poisson risk model under absolute ruin with debit interest and a constant dividend barrier. Integro-differential equations satisfied by the expectation of discounted dividend payments,the moment generating function and the expected discounted penalty function (Gerber-Shiu function) with certain boundary conditions are obtained. For some special cases,explicit expressions are obtained.
