在索赔额相依的风险模型中的阈值分红策略

A threshold dividend strategy in a risk model with inter-claim-dependent claim sizes

介绍了带有阈值分红的索赔额相依风险模型,给出了Gerber-Shiu罚金折现函数满足的非齐次积分微分方程及其解的分析,并给出了红利折现期望满足的齐次积分微分方程。

First, a threshold dividend strategy in a risk model with interclaim-dependent claim sizes was introduced. Then, a nonhomogeneous integro-differential equation for the Gerber-Shiu discounted penalty fimction in this risk model was derived, and the solution to the Gerber-Shiu discounted penalty function was analyzed. Finally, a homogeneous integro-differential equation for the expected discounted dividend payments before ruin was derived.