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常利率环境下带扰动的广义Erlang(n)风险过程中红利问题

The dividends problems of ruin in a generalized Erlang(n) risk process perturbed by diffusion with interest
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摘要 在常利率环境条件下研究带扰动的广义Erlang(n)风险过程中保险公司的红利问题.在障碍策略下,得出其矩母函数所满足的积分-微分方程及方程的边界条件和红利所满足的积分-微分方程及方程的边界条件.最后,给出V1(u,b)的表达式并进行数值分析. We consider a generalized Erlang（ n） risk process perturbed by diffusion with a constant interest under a dividend barrier strategy.Under such a strategy,Integro-differential equations with certain boundary conditions for the moment generating functions and moment functions of the present value of all dividends paid until ruin are derived.Some special cases for V1（ u,b） are considered in details and a numerical solution.
作者 王传玉 王健 胡莎娜
机构地区 安徽工程大学数理学院
出处 《云南大学学报（自然科学版）》 CAS CSCD 北大核心 2015年第2期180-186,共7页 Journal of Yunnan University(Natural Sciences Edition)
基金 国家自然科学基金(61203139) 安徽省重点教研项目(2012jyxm277)
关键词 常利率 带扰动的广义Erlang(n)风险模型 积分-微分方程 红利 障碍策略 a constant interest the generalized Erlang（n） risk process perturbed by diffusion the integro-differential equation dividend the barrier strategy
分类号 O211.9 [理学—概率论与数理统计]
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参考文献11

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二级参考文献1

  • 1GRANDELL J.Aspects of Risk Theory[M].New York:Springer-Verlag,1991.

共引文献14

云南大学学报（自然科学版）
2015年 第2期

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