摘要
研究了一类复合泊松风险模型,其在安全负载体系下进行赋税,且按门槛策略进行分红.讨论了此模型破产时的变量期望折现罚金函数且得到了此函数满足的积分-微分方程和相关的表达式.最后,在单独索赔量为指数分布的特例下,给出了破产概率的一般表达式.
The compound Poisson risk model was considered in which taxes were paid according to a loss-carry forward system and dividends were paid under a threshold strategy.For this model,the ruin quantities were discussed by defining an expected discounted penalty function at ruin and the analytical integro-differential equation satisfied by the expected discounted penalty function was derived.Finally,in the case where the individual claims follow an exponential distribution,explicit expressions for the ruin probability were given.
基金
Supported by the National Natural Science Foundation of China(11401498,61561025)
Science and Technology Planning Project of Jiangxi Provincial Education Department(GJJ150401)
the Fundamental Research Funds for the Central Universities(20720140525)