阈红利边界下理赔时间间隔与理赔额相依的风险模型

A Risk Model with Dependence between Interclaim Arrivals and Claim Sizes under A Threshold Dividend Strategy

考虑阈红利边界下理赌时间间隔与理赔额相依的风险模型.首先给出了该模型的Gerber- Shiu函数满足的积分.微分方程及更新方程,然后利用Laplace变换及复合几何分布函数得到了Gerber-Shiu函数的确切表达式.

In this paper, we consider a risk model with a threshold dividend strategy in which interclalm arrivals and claim sizes are dependent. Firstly, we derive the integro-differential equation and the renewal equation for the Gerber-Shiu function. Secondly, we obtain the analytical expressions for the Gerber-Shiu function by employing the Laplace transforms and the compound geometric distribution functions.