绝对破产下具有贷款利息及常数分红界的扰动复合Poisson风险模型

On the Perturbed Compound Poisson Risk Model under Absolute Ruin with Debit Interest and a Constant Dividend Barrier

该文研究了绝对破产下具有贷款利息及常数分红界的扰动复合Poisson风险模型,得到了折现分红总量的均值函数,及其矩母函数以及此模型的期望折现罚金函数(Gerber-Shiu函数)满足的积分-微分方程及边值条件,并求出了某些特殊情形下的具体表达式.

In this paper, we consider the perturbed compound Poisson risk model under absolute ruin with debit interest and a constant dividend barrier. Integro-differential equations satisfied by the expectation of discounted dividend payments, the moment generating function and the expected discounted penalty function （Gerber-Shiu function） with certain boundary conditions are obtained. For some special cases, explicit expressions are obtained.