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基于常利率投资和线性阈值分红策略下的绝对破产模型（英文）

The Absolute Ruin Risk Model with Constant Interest Investment and Linear Threshold Dividend Strategy
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摘要 研究了常利率投资和线性阈值分红策略下的绝对破产模型,利用全概率公式、Taylor展式求解绝对破产前累计分红现值的矩母函数和n阶矩函数的更新方程,得到Gerber-Shiu期望折现罚金函数的偏微分方程表达式. The paper mainly analyzes the absolute ruin risk model with constant interest investment and a linear threshold dividend strategy.By formula of full probability and Taylor expansion,renewal equations of moment-generating function and nth moment with present value of total dividends until absolution ruin are obtained.Further,partial integrodifferential equations of Gerber-Shiu function are given.
作者 贺婷 李智明 吴黎军
机构地区 新疆大学数学与系统科学学院
出处 《新疆大学学报（自然科学版）》 CAS 北大核心 2016年第2期127-133,253,共7页 Journal of Xinjiang University(Natural Science Edition)
基金 supported by the National Natural Science Foundation of China(11361058) the Doctoral Program of Xinjiang University(BS130106)
关键词 绝对破产模型 线性阈值分红策略 Gerber-Shiu期望折现罚金函数 更新方程 absolute ruin risk model linear threshold dividend Gerber-Shiu function renewal equation
分类号 O211.9 [理学—概率论与数理统计]
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新疆大学学报（自然科学版）
2016年 第2期

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