负二项(2)风险过程的Gerber-Shui罚金函数

The Gerber-Shui Penalty Function in the Negative Binomial (2) Risk Process

考虑了负二项(2)风险过程的破产时刻被折现罚金的期望值,它是一个关于初始余额的函数,即 Ger-ber-Shui 罚金函数,推出了它所满足的瑕疵离散更新方程,进而得出了它的递推解,显示解和渐近解.

In this paper, under the negative binomial（2） risk process, discounted value of a penalty at ruin is examined, which is considered as a function of the initial surplus, and is usually called Gerber-Shui penalty function. It＇s shown to satisfy a defective and discrete renewal equation, and its recursive solution, explicit solution and approximative solution are also derived.