摘要
本文考虑混合分红策略下索赔来到间隔为广义Erlang(n)分布的更新风险模型,利用指数分布的无记忆性,分别得到破产前期望折现分红函数和折现分红的矩母函数满足的积分-微分方程及其边界条件.最后给出索赔为指数分布及索赔来到间隔为广义Erlang(2)分布的风险模型的期望折现分红函数的精确表达式.
In this paper, we consider the generalized Erlang(n) risk model with a hybrid dividend strategy.Using the lack-of-memory property of the exponential distribution, we derive integro-differential equations with boundary conditions satisfied by the expectation of the sum of discounted dividends until ruin and the moment generating function of the discounted dividend payments until ruin respectively. Explicit solutions of the expectation of the discounted dividend are given for a generalized Erlang(2) risk model and exponential-distributed claim amounts.
出处
《中国科学:数学》
CSCD
北大核心
2014年第10期1111-1122,共12页
Scientia Sinica:Mathematica
基金
国家自然科学基金(批准号:11171179和11301295)
中国高等学校博士点科研基金(批准号:20133705110002)资助项目