常数分红下相依理赔量的Erlang(2)模型

数学物理学报 ›› 2010, Vol. 30 ›› Issue (3): 656-665.

常数分红下相依理赔量的Erlang(2)模型

董迎辉^1,2, 王过京¹

1.苏州大学数学系与金融工程研究中心苏州 215006|2.苏州科技学院数理学院苏州 215011

收稿日期:2008-10-08 修回日期:2009-11-16 出版日期:2010-05-25 发布日期:2010-05-25
基金资助:
江苏省自然科学基金(KB2008155)、苏州科技学院院基金和江苏省普通高校研究生科研创新计划(CX09B-017Z)资助

The Erlang (2) Risk Model with Interclaim-dependent Claim Sizes and Constant Dividend Barrier

DONG Ying-Hui^1,2, WANG Guo-Jing¹

1.Department of Mathematics and Research Center for Financial Engineering, Suzhou University, Suzhou 215006;

2.Department of Mathematics, Suzhou Science and Technology University, Suzhou 215011

Received:2008-10-08 Revised:2009-11-16 Online:2010-05-25 Published:2010-05-25
Supported by:
江苏省自然科学基金(KB2008155)、苏州科技学院院基金和江苏省普通高校研究生科研创新计划(CX09B-017Z)资助

摘要/Abstract

摘要：

该文考虑了常数障碍分红策略下的 Erlang(2)模型, 研究了Gerber-Shiu折现罚金函数和期望折现分红, 导出了它们所满足的积分微分方程, 并分析了它们的解.

关键词: Erlang(2)过程, 相依理赔量, Gerber-Shiu 折现罚金函数, 积分微分方程

Abstract:

This paper considers Erlang(2) risk process with a constant dividend barrier. The Gerber-Shiu expected discounted penalty function and the expected discounted dividend payments associated with the proposed model are investigated. Integral equations, integro-differential
equations are derived. And the Gerber-Shiu expected discounted penalty function and the expected discounted dividend payments are analyzed.

Key words: Erlang(2) process, Interclaim-dependent claim sizes, Gerber-Shiu expected discounted penalty function, Integro-differential equation

中图分类号:

60G40

董迎辉, 王过京. 常数分红下相依理赔量的Erlang(2)模型[J]. 数学物理学报, 2010, 30(3): 656-665.

DONG Ying-Hui, WANG Guo-Jing. The Erlang (2) Risk Model with Interclaim-dependent Claim Sizes and Constant Dividend Barrier[J]. Acta mathematica scientia,Series A, 2010, 30(3): 656-665.