高珊1,2
(1.中南大學數(shù)學科學與計算技術(shù)學院,湖南長沙 410075; 2.阜陽師范學院數(shù)學與計算科學學院,安徽阜陽 236041)
具有紅利邊界的Erlang(2)風險模型
高珊1,2
(1.中南大學數(shù)學科學與計算技術(shù)學院,湖南長沙 410075; 2.阜陽師范學院數(shù)學與計算科學學院,安徽阜陽 236041)
給出了具有邊界紅利策略的Erlang(2)風險模型,在此紅利策略下,若保險公司的盈余在紅利線以下時不支付紅利,否則紅利以低于保費率的常速率予以支付.對于該模型,本文推導了Gerber-Shiu折現(xiàn)懲罰函數(shù)所滿足的兩個積分-微分方程和更新方程.
Erlang(2)風險過程;折現(xiàn)懲罰函數(shù);積分-微分方程;紅利策略
邊界策略最初是De Finetti(1957)對二項模型提出的,最近關(guān)于復合Poisson風險模型更一般的邊界策略得到廣泛的研究[1-7].本文考慮具有如下邊界紅利策略的Erlang(2)風險模型:
δ≥0可以代表利息強度,I(…)表示示性函數(shù),w(x1,x2)是關(guān)于x1≥0和x2>0的非負有界函數(shù).
在這部分我們將推導關(guān)于mb(u)的兩個積分-微分方程,一個是當初始盈余低于邊界的時候,另一個是初始盈余高于邊界.令
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The Erlang(2)risk model with adividend barrier
GAO Shan1,2
(1.School of Mathem atics,Central South University,Changsha 410075,China; 2.Department of Mathematics,Fuyang Normal College,Fuyang 236041,China)
In this paper,we present the Erlang(2)risk model with a dividend barrier strategy.Under such strategy,no dividends are paid if the insurer’s surp lus is below certain barrier level,when the surp lus is above this barrier level,dividends are paid at a constant rate that does not exceed the prem ium rate.For the risk model,two integro-differentialequations and a renewalequation for the Gerber-Shiu discounted penalty function are derived.
Erlang(2)risk model,discounted penalty function,integro-differential equation,dividend strategy 2000M SC:60K 20,91B30
O211.67
A
1008-5513(2009)02-0251-07
2007-09-04.
安徽省高等學校省級自然科學研究項目(KJ2007B 183).
高珊(1975-),博士,講師,研究方向:隨機過程,排隊論.