带常数红利边界马氏相依风险模型的Gerber-Shiu折扣惩罚函数的期望(英文) 被引量：1

THE GERBER-SHIU DISCOUNTED PENALTY FUNCTION OF MARKOV-DEPENDENT RISK MODEL WITH A CONSTANT DIVIDEND BARRIER

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摘要本文研究了带常数红利边界的马氏相依风险模型,利用微分方法,推导出折扣惩罚函数的期望所满足的积分-微分方程,及其满足的边界条件,并给出了其解的一般表达形式. In this paper, we study the Markov-dependent risk model with a constant dividend barrier. By using differential argument, we get an integro-differential equation for the Gerber-Shiu discounted penalty function with boundary conditions and its general solution form.

作者刘娟胡亦钧

机构地区武汉大学数学与统计学院

出处《数学杂志》 CSCD 北大核心 2007年第5期489-492,共4页 Journal of Mathematics

基金 Supported by the National Natural Science Foundation of China (10671149)

关键词马氏相依红利边界折扣惩罚函数的期望积分微分方程 Markov-dependent dividend barrier expected discounted penalty function integro-differential equation

分类号 O211.9 [理学—概率论与数理统计]

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