复合Poisson风险模型下积分-微分方程的解

Solution to the integral-differential of the compound Poisson risk model

破产论是风险论的核心内容,复合Poisson风险模型一直是破产论研究的热点。本文研究了带常利息力和两个红利Threshold策略的复合Poisson风险模型,在作者之前研究的基础上给出了该模型下的Gerber-Shiu期望折现罚金函数m(u,b)所满足的积分-微分方程在δ=0时的解。

Ruin theory is the core of risk theory, the compound Poisson risk model is always the hotspot area to be studied in ruin theory. This paper presented the compound Poisson risk model with two dividend Thresholds strategy and constant interest force and obtained the general solution to the integral- differential equation of the Gerber- Shin expected discounted penalty function on the basis of the author＇s former studying when δ = 0.