线性阈红利策略风险模型中罚金函数的两个偏微积分方程

Two partial integro-differential equations for discounted penalty function in risk model with threshold dividend strategy

在经典复合泊松模型的基础上,研究线性阈红利边界下风险模型的Gerber-Shiu贴现罚金函数.推导出了它的偏微积分方程.

The classical compound Poisson risk model with a two-step premium rate is considered in this paper, which is under the linear dividend barrier. Gerber-Shiu discounted penalty function is studied. The main purpose is to deduce the partial integro-differential equations for the discounted penalty function.