期刊文献+

一类变保费率风险模型的Gerber-Shiu惩罚函数 被引量:3

GERBER-SHIU DISCOUNTED PENALTY FUNCTION FOR RISK MODEL WITH PREMIUM RATE DEPENDING ON TIME
下载PDF
导出
摘要 本文考虑变保费风险模型,假设保费率是随时间变化的,研究了其Gerber-Shiu惩罚函数.通过无穷小方法给出Gerber-Shiu惩罚函数所满足的积分-微分方程;在指数索赔下,给出其破产时赤字的数学期望及破产时的拉普拉斯变换. In this article, we consider the risk model in which the premium rate is assumed to depend upon time. Under this condition, we consider the Gerber-Shiu discounted penalty function for this risk model. By using "diffential argument", an integro-differential equation for Gerber-Shiu discounted penalty function is given, and is also solved in some special cases.
出处 《数学杂志》 CSCD 北大核心 2010年第6期1114-1116,共3页 Journal of Mathematics
基金 国家自然基金资助项目(10671149)
关键词 保费率 破产时 Gerber-Shiu惩罚函数 赤字 Premium rate time of ruin Gerber-Shiu discounted penalty function deficit
  • 相关文献

参考文献4

  • 1Christian Wagner.Time in the red in a two state Markov model[].IME.2002
  • 2Asmussen S.Ruin Probabilities[]..2000
  • 3Gerber HU,Shiu ESW.On the time value of ruin[].North American Archaeologist.1998
  • 4Grandell J.Aspects of risk theory[]..1991

同被引文献17

引证文献3

二级引证文献11

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部