障碍分红策略下的相关双边跳扩散模型

Correlated Two-Sided Jump-Diffusion Model Under the Barrier Dividend

带干扰的经典风险模型,其干扰项可被解释为未来的总理赔量,保费收入以及未来投资收益的不确定性.本文用一个与理赔量过程相关的双指数跳扩散过程来描述这些不确定性,考虑障碍策略下相关双边跳扩散模型的破产问题,给出破产时间拉普拉斯变换的显式表达公式.

In the perturbed classical risk model,the perturbed part is usually interpreted as the fluctuation of the total claim amount,the premium income and the surplus investment return.This paper uses a double exponential jump-diffusion model which depends on the aggregate claim process to describe the fluctuation.We consider the ruin problem under a correlated two-sided jump-diffusion model with a barrier dividend,and give the explicit expression for the Laplace transform of the ruin time.