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.
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