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具有随机收入的两类索赔干扰风险模型的破产前最大盈余分布

The Distribution of the Maximum Surplus before Ruin for Two Classes of Perturbed Risk Model with Stochastic Income
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摘要 本文考虑了具有随机收入的两类索赔干扰风险模型.建立了破产前最大盈余分布■(u;d)所满足的积分-微分方程,假设年金收入量为指数分布时,得到了当d→+∞时,■(u;d)的拉普拉斯解,给出了当两类索赔数量分布均属于有理函数族时破产前最大盈余分布的显式解. In this paper, we consider the two classes of perturbed risk model with stochastic income. We set up the integro-differential equations for the distribution of the maximum surplus before ruin ■(u;d). The Laplace transforms of ■(u;d), d →+∞ are obtained for exponential premium income. The explicit expressions for the distribution of the maximum surplus before ruin are derived when the two classes claim amount distributions all belong to the rational family.
作者 江五元 JIANG Wuyuan(Department of Mathematics, Hunan Institute of Science and Technology, Yueyang, 414006, China)
机构地区 湖南理工学院数学学院
出处 《应用概率统计》 CSCD 北大核心 2019年第3期263-274,共12页 Chinese Journal of Applied Probability and Statistics
基金 国家社会科学基金项目(批准号:17BJY206)资助
关键词 两类索赔过程 扩散干扰 破产前最大盈余分布 随机收入 two classes of claims perturb by di usion distribution of the maximum surplus before ruin stochastic income
分类号 O211.6 [理学—概率论与数理统计]
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